ARCH-type bilinear models with double long memory.
The authors discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation \(X_t=\xi _tA_t +B_t\), where \(\xi _t,t\in Z\) are standard i.i.d.\ random variables and \(A_t,B_t\) are moving averages in \(X_t,\;s<t\). A stationary solution of the equation is obtained as a Volterra expansion. A number of particular cases is discussed.
scientific article; zbMATH DE number 2138928
scientific article