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

DOI10.1017/S0266466604201062MaRDI QIDQ4814249zbMATH OpenFDO

Authors Paolo Zaffaroni

Publication date 7 September 2004

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466604201062

zbMATH Keywords

nonlinear time series models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3958501 (Why is no real title available?)
• The second moment and the autocovariance function of the squared errors of the GARCH model

Cited in

(27)

• 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
• ARCH-type bilinear models with double long memory.
• Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• The impulse response function of the long memory GARCH process
• Perfect simulation of autoregressive models with infinite memory
• Bivariate integer-autoregressive process with an application to mutual fund flows
• On the existence of some ARCH\((\infty)\)processes
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Conditional asymmetry in power ARCH() models
• Recent advances in ARCH modelling
• Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
• A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
• Periodic Long-Memory GARCH Models
• ARCH(∞) Models and Long Memory Properties
• Long run behaviour of the autocovariance function of ARCH() models
• Stationary integrated ARCH() and AR() processes with finite variance
• ON STATIONARITY IN THE ARCH(∞) MODEL
• On mixture memory GARCH models
• Contemporaneous aggregation of GARCH processes
• How can we Define the Concept of Long Memory? An Econometric Survey
• Panel Quantile GARCH Models under Homogeneity
• Non-negativity conditions for the hyperbolic GARCH model
• A new hyperbolic GARCH model
• On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory

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