Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models

DOI10.1016/j.jmaa.2012.03.021zbMath1275.62063arXiv1202.5440MaRDI QIDQ429271

John A. D. Appleby, John A. Daniels

Publication date: 19 June 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.5440

zbMATH Keywords

Volterra equation; subexponential decay

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

39A10: Additive difference equations

39A60: Applications of difference equations

Related Items

Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes, On asymptotic constancy for linear discrete summation equations

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