A model for long memory conditional heteroscedasticity
Giraitis, L., Robinson, P. M. & Surgailis, D.
(2000).
A model for long memory conditional heteroscedasticity.
Annals of Applied Probability,
10(3), 1002-1024.
For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s < t, we give conditions under which, for integers 1 > 2, r' has long memory autocorrelation and normalized partial sums of ri converge to fractional Brownian motion.
| Item Type | Article |
|---|---|
| Copyright holders | © 2000 Institute of Mathematical Statistics |
| Departments | LSE > Academic Departments > Economics |
| Date Deposited | 16 Dec 2005 |
| URI | https://researchonline.lse.ac.uk/id/eprint/299 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/peter-robinson.aspx (Author)
- http://www.jstor.org/stable/2667327 (Publisher)
- http://www.imstat.org/aap/ (Official URL)