STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL
LIMIT THEOREM
Keyword(s):
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.
1982 ◽
Vol 59
(3)
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pp. 311-318
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1978 ◽
Vol 18
(1)
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pp. 13-19
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Keyword(s):
1993 ◽
Vol 17
(10)
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pp. 3-9
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1955 ◽
Vol 51
(1)
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pp. 92-95
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2021 ◽
Vol 32
(2)
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pp. 417-426