Resource title

A model for long memory conditional heteroscedasticity

Resource image

image for OpenScout resource :: A model for long memory conditional heteroscedasticity

Resource description

For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s < t, we give conditions under which, for integers 1 > 2, r' has long memory autocorrelation and normalized partial sums of ri converge to fractional Brownian motion.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/299/1/Ann_App_Prob.pdf

Resource license