A Larch Vector Valued Process

Paul Doukhan, Gilles Teyssière and Pablo Winant
Additional contact information
Paul Doukhan: Crest
Gilles Teyssière: Crest

No 2005-49, Working Papers from Center for Research in Economics and Statistics

Abstract: We introduce a vector version of the LARCH(1) equation yielding asimple approach to various models like bilinear or GARCH models. To this aim weprovide an explicit chaotic expansion of a solution for this ARCH(1) equation, andshow the uniqueness of this solution under reasonable conditions. Independent orN-Markov approximations of this process allow to simulate a trajectory or to derivebounds for their weak dependence coefficients as defined by Doukhan and Louhichi(1999). We finally consider a long range dependent version of this model; in thiscase we provide an existence and uniqueness result.

Pages: 16
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2005-49.pdf Crest working paper version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2005-49

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.