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Keyword: linear arch;
4 results found.
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Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...
Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case o...Read more...
We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH...Read more...
Peter M Robinson and Paolo Zaffaroni
We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply lon...Read more...