ARCH-type bilinear models with double long memory

By Liudas Giraitis, Donatas Surgailis. 2002

82 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/149e8d40df7e19af5421133add8272251d1bf2a8

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In Finance

1. Gilles Teyssière
2. Paul Doukhan
3. Donatas Surgailis
4. Alan Kirman
5. Liudas Giraitis
6. Remigijus Leipus
7. Jérôme Dedecker
8. Lajos Horv'ath

In Global and Planetary Change

1. Paul Doukhan
2. Jérôme Dedecker
3. Gilles Teyssière
4. Alan Kirman
5. Donatas Surgailis
6. Liudas Giraitis

Citations in the corpus

• Dependent Lindeberg central limit theorem and some applications (2007, unknown): “j=1 cjXk−j for k ∈ Z (see Giraitis and Surgailis [13]) and if, • { ∃J ∈ N such that ∀j > J , aj = cj = 0, or, ∃μ ∈]0, 1[ such that ∑j |cj |μ−j ≤ 1 and ∀j ∈ N, 0 ≤ aj ≤ μ , then X is a λ-weakly dependent process with λr = O(e−c √ ), constant c > 0; • ∀j ∈ N, cj ≥ 0, and ∃ν1 > 2 and ∃ν2 > 0 such that ”
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001, methodology): “asymptotic normality and root-n consistency of the approximate maximum likelihood estimator are only conjectured on the basis of Monte Carlo simulations, and there might be no strictly stationary solution to the equations defining a fractionally integrated GARCH process (see Giraitis, Kokoszka and L”
• GARCH Models (2010, unknown): “LARCH(∞) models were introduced by Robinson (1991) and their probability properties studied by Giraitis, Robinson and Surgailis (2000), Giraitis and Surgailis (2002), Berkes and Horváth (2003a) and Giraitis et al. (2004).”
• A new covariance inequality and applications (2003, methodology): “• More general ARCH-type bilinear models with short memory, solution of the equationXt = ( a0 + ∑∞ j=1 ajXt−j ) ξt+b0+ ∑∞ j=1 bjXt−j from Giraitis and Surgailis (2002) may be considered in an analogue way.”
• Recent Advances in ARCH Modelling (2007, background): “The result (51) is typical for ”renewal type long memory” and is in deep contrast with the fBM asymptotics of the corresponding partial sums processes in (47) and (33) for the EGARCH and LARCH models.”