A model for long memory conditional heteroscedasticity

For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s < t, we give conditions under which, for integers 1 > 2, r' has long memory autocorrelation and normalized partial sums of ri converge to fractional Brownian motion.

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Year of publication:	2000
Authors:	Giraitis, Liudas ; Robinson, Peter M. ; Surgailis, Donatas
Institutions:	London School of Economics (LSE)
Subject:	ARCH processes \| long memory \| Volterra series \| diagrams \| central limit theorem \| fractional Brownian motion

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Annals of Applied Probability, 2000, 10(3), pp. 1002-1024. ISSN: 1050-5164
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011071148