On the existence of some ARCH()processes

DOI10.1016/J.SPA.2007.06.002zbMATH Open1136.60327arXivmath/0611339OpenAlexW1509248257MaRDI QIDQ2483465FDOQ2483465

Authors: Randal Douc, François Roueff, Philippe Soulier 

Publication date: 28 April 2008

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

Abstract: A new sufficient condition for the existence of a stationary causal solution of an ARCH($infty$) equation is provided. This condition allows to consider polynomially decaying coefficients, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.

Full work available at URL: https://arxiv.org/abs/math/0611339

Recommendations

• ON STATIONARITY IN THE ARCH(∞) MODEL
• Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• A new theorem on the existence of invariant distributions with applications to ARCH processes

zbMATH Keywords

long memoryARCH processesfractionally integrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Stationarity of GARCH processes and of some nonnegative time series
• Change-point estimation in ARCH models
• Regular variation of GARCH processes.
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• ARCH-type bilinear models with double long memory.
• A new theorem on the existence of invariant distributions with applications to ARCH processes

Cited In (14)

• A LARCH(∞) Vector Valued Process
• A new theorem on the existence of invariant distributions with applications to ARCH processes
• ON STATIONARITY IN THE ARCH(∞) MODEL
• Asymptotic theory for fractionally integrated asymmetric power ARCH models
• Semi- and nonparametric ARCH processes
• A new hyperbolic GARCH model
• Aggregation of the random coefficient GLARCH(1,1) process
• Conditional asymmetry in power ARCH\((\infty)\) models
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

This page was built for publication: On the existence of some ARCH\((\infty)\)processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2483465)