The class of generalized autoregressive conditional heteroscedastic (GARCH) models has been proved to be particularly valuable in modeling financial data. This paper is devoted to study the empirical characteristic function process of the residuals. Specifically, it is shown that such process...

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

First of all, we would like to congratulate and to thank Lajos Horváth and Gregory Rice for providing an excellent overview of a recent development in the area of change point. This area is developing quite fast with many new procedures, many new theoretical results and many applications. We...