On the existence of some ARCH($\infty$) processes

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

A new sufficient condition for the existence of a stationary causal solution of an ARCH($\infty$) equation is provided. This condition allows to consider polynomially decaying coefficients, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.

Keywords

Statistics Theory, Probability, 60G10 62M10

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/214413

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0611339
 http://arxiv.org/abs/math/0611339
 Stochastic Processes and their Applications 118, 5 (2008) 755-761
 doi:10.1016/j.spa.2007.06.002

Collections

arXiv