A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (Q3603204)
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scientific article; zbMATH DE number 5508246
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| English | A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares |
scientific article; zbMATH DE number 5508246 |
Statements
A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (English)
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16 February 2009
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linear ARCH model
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quadratic ARCH model
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long memory
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partial sums
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Lévy stable processes
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fractional Brownian motions
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0.8452187776565552
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0.8372379541397095
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0.8334608674049377
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0.8305719494819641
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0.8304845094680786
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