Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models
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Publication:429271
DOI10.1016/j.jmaa.2012.03.021zbMath1275.62063arXiv1202.5440OpenAlexW2962780127MaRDI QIDQ429271
John A. D. Appleby, John A. Daniels
Publication date: 19 June 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.5440
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Additive difference equations (39A10) Applications of difference equations (39A60)
Related Items
Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes, On asymptotic constancy for linear discrete summation equations
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