A model for long memory conditional heteroscedasticity.

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

Donatas Surgailis, Liudas Giraitis, Peter M. Robinson

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

Related Items

Random coefficient autoregression, regime switching and long memory, Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances, DETECTION OF NONCONSTANT LONG MEMORY PARAMETER, Tests for Volatility Shifts in Garch Against Long‐Range Dependence, ON M‐Estimation Under Long‐Range Dependence in Volatility, How can we Define the Concept of Long Memory? An Econometric Survey, Space‐time modelling of trends in temperature series, Limiting spectral distribution of sample autocovariance matrices, On approximate pseudo-maximum likelihood estimation for LARCH-processes, Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion, Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models, Some convergence results on quadratic forms for random fields and application to empirical covariances, Split invariance principles for stationary processes, On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory, Weighted averages and local polynomial estimation for fractional linear ARCH processes, Covariance stationary GARCH-family models with long memory property, Asymptotic results for long memory LARCH sequences, ARCH-type bilinear models with double long memory., Rescaled variance and related tests for long memory in volatility and levels, Specification tests for the error distribution in GARCH models, Asymptotic behavior of weakly dependent aggregated processes, Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study, The increment ratio statistic, On discriminating between long-range dependence and changes in mean, On location estimation for LARCH processes, LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES, Hurst Index of Functions of Long-Range-Dependent Markov Chains, ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS, Projective Stochastic Equations and Nonlinear Long Memory, IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY, A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS, AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS, A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Limit theorem for polynomials of a linear process with long-range dependence
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• On large-sample estimation for the mean of a stationary random sequence
• Nonlinear time series with long memory: A model for stochastic volatility
• The detection and estimation of long memory in stochastic volatility
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Modeling volatility persistence of speculative returns: a new approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• The Invariance Principle for Stationary Processes