A model for long memory conditional heteroscedasticity.

DOI10.1214/aoap/1019487516zbMath1084.62516MaRDI QIDQ1872488

Peter M. Robinson, Liudas Giraitis, Donatas Surgailis

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1019487516

zbMATH Keywords

fractional Brownian motion; central limit theorem; long memory; Volterra series; diagrams; ARCH processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

60J65: Brownian motion

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