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
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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 |
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| Official URL: | http://www.imstat.org/aap/ |
| 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 |
| URL: | http://eprints.lse.ac.uk/299/ |
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