Weak Dependence Beyond Mixing for Infinite ARCH-type Bilinear Models

Paul Doukhan, Hélène Madre and Mathieu Rosenbaum
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Paul Doukhan: Crest
Hélène Madre: Crest
Mathieu Rosenbaum: Crest

No 2005-50, Working Papers from Center for Research in Economics and Statistics

Abstract: Weak dependence properties of ARCH-type bilinear models as introduced by Doukhanand Louhichi (1999) is investigated here. Those models are usually considered for their longrange dependence properties, see Giraitis and Surgailis (2002). Decay of the weak dependencecoefficient sequence are established under different specifications of the model's coefficients.This implies various limit theorems and asymptotics for statistical procedures.We also derivejoint densities for such models in case of regular inputs.

Pages: 19
Date: 2005
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