Giraitis, Liudas Kokoszka, Piotr Leipus, Remigijus
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.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 16 (2000) Issue (Month): 01 (February) Pages: 3-22 Download reference. The following formats are available: HTML,
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Handle: RePEc:cup:etheor:v:16:y:2000:i:01:p:3-22
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