Convergence of long-memory discrete kth order Volterra processes
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2014.12.006
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
- Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 177-210.
- Bai, Shuyang & Taqqu, Murad S., 2014. "Generalized Hermite processes, discrete chaos and limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1710-1739.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kouritzin, Michael A. & Paul, Sounak, 2022. "On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 208-232.
- Ayache, Antoine, 2020. "Lower bound for local oscillations of Hermite processes," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4593-4607.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
- Iqbal Owadally, 2014. "Tail risk in pension funds: an analysis using ARCH models and bilinear processes," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 301-331, August.
- Martinez Oscar & Olmo Jose, 2012.
"A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-39, September.
- Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
- Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
- Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 125-144, January.
- Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
- Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006.
"Modelling financial time series with SEMIFAR-GARCH model,"
MPRA Paper
1593, University Library of Munich, Germany.
- Feng, Yuanhua & Beran, Jan & Yu, Keming, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Papers 07/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Conrad, Christian & Karanasos, Menelaos, 2006. "The impulse response function of the long memory GARCH process," Economics Letters, Elsevier, vol. 90(1), pages 34-41, January.
- Axel Groß‐KlußMann & Nikolaus Hautsch, 2013.
"Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
- Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "Predicting bid-ask spreads using long memory autoregressive conditional poisson models," SFB 649 Discussion Papers 2011-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ieva Grublytė & Donatas Surgailis & Andrius Škarnulis, 2017. "QMLE for Quadratic ARCH Model with Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 535-551, July.
- Francq, Christian & Zakoïan, Jean-Michel, 2010.
"Inconsistency of the MLE and inference based on weighted LS for LARCH models,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
- Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-00732536, HAL.
- Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
- Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
- Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
- Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
- Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Center for Research in Economics and Statistics.
- Melike Bildirici & Özgür Ömer Ersin, 2014. "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 108-135, October.
- Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
More about this item
Keywords
Long memory; Long-range dependence; Volterra process; Wiener chaos; Wiener; Stratonovich; Limit theorems;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:125:y:2015:i:5:p:2026-2053. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.