STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS

DOI10.1017/S0266466604201062zbMath1046.62096MaRDI QIDQ4814249

Paolo Zaffaroni

Publication date: 7 September 2004

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

nonlinear time series models

Mathematics Subject Classification ID

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

Related Items

ON MIXTURE MEMORY GARCH MODELS, Contemporaneous aggregation of GARCH processes, How can we Define the Concept of Long Memory? An Econometric Survey, Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes, Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models, Non-negativity conditions for the hyperbolic GARCH model, A new hyperbolic GARCH model, On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory, Generalised long-memory GARCH models for intra-daily volatility, Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH, Covariance stationary GARCH-family models with long memory property, On the estimation and diagnostic checking of the ARFIMA-HYGARCH model, The impulse response function of the long memory GARCH process, Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models, Periodic Long-Memory GARCH Models

Cites Work

• The second moment and the autocovariance function of the squared errors of the GARCH model
• Unnamed Item