Giraitis, Liudas, Robinson, Peter M. and Surgailis, Donatas (2000) A model for long memory conditional heteroscedasticity. Annals of Applied Probability, 10 (3). pp. 1002-1024. ISSN 1050-5164
|
PDF
Download (289kB) | Preview |
Abstract
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 |
|---|---|
| Official URL: | http://www.imstat.org/aap/ |
| Additional Information: | © 2000 Institute of Mathematical Statistics |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation |
| Date Deposited: | 16 Dec 2005 |
| Last Modified: | 11 Dec 2024 22:16 |
| URI: | http://eprints.lse.ac.uk/id/eprint/299 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics