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A model for long memory conditional heteroscedasticity

Giraitis, Liudas and 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

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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
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 16 Dec 2005
Last Modified: 01 May 2012 15:06
URI: http://eprints.lse.ac.uk/id/eprint/299

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