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ARCH-type bilinear models with double long memory

Giraitis, L. and Surgailis, D. (2002) ARCH-type bilinear models with double long memory. Stochastic Processes and their applications, 100. pp. 275-300.

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Abstract

We discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation X, = ζtAt + Bt,(*), where ζt, t ∈ Z are standard i.i.d. r.v.'s, and At,Bt are moving averages in Xs, s < t. Stationary solution of (*) is obtained as an orthogonal Volterra expansion. In the case At ≡ 1, Xt is the classical AR(oo) process, while Bt ≡ 0 gives the LARCH model studied by Giraitis et al. (Ann. Appl. Probab. 10 (2000) 1002). In the general case, X, may exhibit long memory both in conditional mean and in conditional variance, with arbitrary fractional parameters 0 < d1 < 1/2 and 0 < d2 < 1/2, respectively. We also discuss the hyperbolic decay of auto- and/or cross-covariances of Xt and X2t and the asymptotic distribution of the corresponding partial sums' processes.

Item Type: Article
Institution: The University of York
Academic Units: The University of York > Mathematics (York)
The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 15 May 2009 11:23
Last Modified: 15 May 2009 11:23
Status: Published
Publisher: Elsevier
URI: http://eprints.whiterose.ac.uk/id/eprint/7542

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