STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE

DOI10.1017/S0266466617000391zbMath1406.62095OpenAlexW2767004591MaRDI QIDQ4554600

Liudas Giraitis, Andrius Škarnulis, Donatas Surgailis

Publication date: 9 November 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000391

zbMATH Keywords

finite fourth momentFIGARCH modelsstationary long memory ARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Related Items (3)

A nonlinear model for long-memory conditional heteroscedasticity ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Subadditive ergodic theorem for double sequences

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