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

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dc.creatorDouc, Randal
dc.creatorRoueff, François
dc.creatorSoulier, Philippe
dc.date2006-11-11
dc.date2007-05-18
dc.date.accessioned2026-07-07T12:24:43Z
dc.date.available2026-07-07T12:24:43Z
dc.descriptionA 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.
dc.identifierhttps://arxiv.org/abs/math/0611339
dc.identifierhttp://arxiv.org/abs/math/0611339
dc.identifierStochastic Processes and their Applications 118, 5 (2008) 755-761
dc.identifierdoi:10.1016/j.spa.2007.06.002
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/214413
dc.subjectStatistics Theory
dc.subjectProbability
dc.subject60G10 62M10
dc.titleOn the existence of some ARCH($\infty$) processes
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