ARCH-type bilinear models with double long memory.

DOI10.1016/S0304-4149(02)00108-4zbMath1057.62070MaRDI QIDQ1766035

Liudas Giraitis, Donatas Surgailis

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

functional limit theoremslong memoryVolterra seriesARCH processesbilinear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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