We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...

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...</t,>

The aggregation procedure when a sample of length N is divided into blocks of length m=o(N), m--[infinity] and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu et al. (1995, Fractals, 3, 785-798), and Teverovsky and Taqqu (1997, J. Time...

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

This paper discusses asymptotic normality of certain classes of M- and R-estimators of the slope parameter vector in linear regression models with long memory moving average errors, extending recent results of Koul (1992) and Koul and Mukherjee (1993). Like in the case of the long memory...

The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...