Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models

DOI10.1016/j.jmaa.2012.03.021zbMath1275.62063arXiv1202.5440OpenAlexW2962780127MaRDI QIDQ429271

John A. D. Appleby, John A. Daniels

Publication date: 19 June 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.5440

zbMATH Keywords

Volterra equationsubexponential decay

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Additive difference equations (39A10) Applications of difference equations (39A60)

Related Items (2)

Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes ⋮ On asymptotic constancy for linear discrete summation equations

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