STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Liudas Giraitis (), Piotr Kokoszka and Remigijus Leipus

Econometric Theory, 2000, vol. 16, issue 1, 3-22

Abstract: 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.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:01:p:3-22_16

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