Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH() processes

DOI10.1016/J.CAMWA.2012.03.079MaRDI QIDQ356154zbMATH OpenOpenAlexFDO

Authors John A. D. Appleby, John A. Daniels

Publication date 25 July 2013

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.5573

zbMATH Keywords

periodic solutiondifference equationVolterra equationadmissibility\(\mathrm{ARCH}(\infty)\) processauto-covariance function

Mathematics Subject Classification ID

Stability theory for difference equations (39A30) Volterra integral equations (45D05)

Abstract: We define a class of functions which have a known decay rate coupled with a periodic fluctuation. We identify conditions on the kernel of a linear summation convolution Volterra equation which give the equivalence of the kernel lying in this class of functions and the solution lying in this class of functions. Some specific examples are examined. In particular this theory is used to provide a counter--example to a result regarding the rate of decay of the auto--covariance function of an ARCH($infty$) process.

Recommendations

• Long run behaviour of the autocovariance function of ARCH() models
• Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
• On the existence of some ARCH\((\infty)\)processes
• Long memory in a linear stochastic Volterra differential equation
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Cites work

• ARCH-type bilinear models with double long memory.
• Change-point estimation in ARCH models
• Long run behaviour of the autocovariance function of ARCH() models
• On asymptotically periodic solutions of linear discrete Volterra equations
• On exact convergence rates for solutions of linear systems of Volterra difference equations†
• Perturbation Theory for Discrete Volterra Equations
• Perturbation of Volterra Difference Equations
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Uniform asymptoic stability in linear volterra difference equations

Cited in

(2)

• Long memory in a linear stochastic Volterra differential equation
• Long run behaviour of the autocovariance function of ARCH() models

This page was built for publication: Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q356154)