Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M; … - Suntory and Toyota International Centres for Economics … - 2003
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary … potential in such models. The model which we consider was suggested by Robinson (1991), for use as a possibly long memory … showed that integer powers, of degree at least 2, can have long memory autocorrelation. We establish conditions under which …