A model for long memory conditional heteroscedasticity

Authors
Giraitis, L Robinson, PM Surgailis, D
Citation
L. Giraitis et al., A model for long memory conditional heteroscedasticity, ANN APPL PR, 10(3), 2000, pp. 1002-1024
Citations number
21
Categorie Soggetti
Mathematics
Journal title
ANNALS OF APPLIED PROBABILITY
ISSN journal
10505164 → ACNP
Volume
10
Issue
3
Year of publication
2000
Pages
1002 - 1024
Database
ISI
SICI code
1050-5164(200008)10:3<1002:AMFLMC>2.0.ZU;2-0
Abstract
For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence r(t) is the squa re of an inhomogeneous linear combination of r(s), s < t, we give condition s under which, for integers l <greater than or equal to> 2, r(t)(l) has lon g memory autocorrelation and normalized partial sums of r(t)(l) converge to fractional Brownian motion.