Library Header Image
LSE Research Online LSE Library Services

A model for long memory conditional heteroscedasticity

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

Download (282Kb) | Preview


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:
Additional Information: © 2000 Institute of Mathematical Statistics
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 16 Dec 2005

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only


Downloads per month over past year

View more statistics