STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS

DOI10.1017/S0266466604201062zbMath1046.62096MaRDI QIDQ4814249

Paolo Zaffaroni

Publication date: 7 September 2004

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

nonlinear time series models

Mathematics Subject Classification ID

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

Related Items (18)

Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes ⋮ On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ The impulse response function of the long memory GARCH process ⋮ A new hyperbolic GARCH model ⋮ Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ ON MIXTURE MEMORY GARCH MODELS ⋮ On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory ⋮ Contemporaneous aggregation of GARCH processes ⋮ Bivariate integer-autoregressive process with an application to mutual fund flows ⋮ Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models ⋮ Stationarity and functional central limit theorem for ARCH(\(\infty\)) models ⋮ Periodic Long-Memory GARCH Models ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ Covariance stationary GARCH-family models with long memory property

Cites Work

• The second moment and the autocovariance function of the squared errors of the GARCH model
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