Stationary Arch Models: Dependence Structure And Central Limit Theorem
AbstractThis 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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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 16 (2000)
Issue (Month): 01 (February)
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