A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares

DOI10.1239/AAP/1231340170MaRDI QIDQ3603204zbMATH OpenOpenAlexFDO

Authors Donatas Surgailis

Publication date 16 February 2009

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1231340170

zbMATH Keywords

fractional Brownian motionslinear ARCH modellong memoryLévy stable processespartial sumsquadratic ARCH model

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(9)

• ARCH model and fractional Brownian motion
• Concentration inequalities for non-causal random fields
• A nonlinear model for long-memory conditional heteroscedasticity
• Recent advances in ARCH modelling
• Limit Theory for the QMLE of the GQARCH (1,1) Model
• A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• A generalized nonlinear model for long memory conditional heteroscedasticity
• Limit theory for martingale transforms with heavy-tailed noise

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