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ARCH-type bilinear models with double long memory

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  • Giraitis, Liudas
  • Surgailis, Donatas

Abstract

We discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation Xt=[zeta]tAt+Bt,(*), where are standard i.i.d. r.v.'s, and At,Bt are moving averages in Xs, s

Suggested Citation

  • Giraitis, Liudas & Surgailis, Donatas, 0. "ARCH-type bilinear models with double long memory," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 275-300, July.
    • Handle: RePEc:eee:spapps:v:100:y::i:1-2:p:275-300
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    References listed on IDEAS

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    1. He, Changli & Teräsvirta, Timo, 1999. "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, vol. 15(6), pages 824-846, December.
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    6. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
    7. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
    8. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
    9. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
    10. Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May.
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