ARCH-type bilinear models with double long memory

Liudas Giraitis () and Donatas Surgailis

Stochastic Processes and their Applications, vol. 100, issue 1-2, 275-300

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

Keywords: ARCH; processes; Bilinear; models; Long; memory; Volterra; series; Functional; limit; theorems (search for similar items in EconPapers)
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