STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

B-Tier
Journal: Econometric Theory
Year: 2000
Volume: 16
Issue: 1
Pages: 3-22

Authors (3)

Giraitis, Liudas (Queen Mary University of Londo...) Kokoszka, Piotr (not in RePEc) Leipus, Remigijus (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper studies a broad class of nonnegative ARCH(∞) models. Sufficient conditions for the existence of a stationary solution are established and an explicit representation of the solution as a Volterra type series is found. Under our assumptions, the covariance function can decay slowly like a power function, falling just short of the long memory structure. A moving average representation in martingale differences is established, and the central limit theorem is proved.

Technical Details

RePEc Handle
repec:cup:etheor:v:16:y:2000:i:01:p:3-22_16
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25