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ARCH(∞) Models and Long Memory Properties

  • Liudas GiraitisEmail author
  • Remigijus Leipus
  • Donatas Surgailis
Chapter

Abstract

ARCH(∞)-models are a natural nonparametric generalization of the class of GARCH(p, q) models which exhibit a rich covariance structure (in particular, hyperbolic decay of the autocovariance function is possible). We discuss stationarity, long memory properties and the limit behavior of partial sums of ARCH(∞) processes as well as some of their modifications (linear ARCH and bilinear models).

Keywords

Stochastic Volatility GARCH Model Stochastic Volatility Model Fourth Moment Memory Property 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Liudas Giraitis
    • 1
    Email author
  • Remigijus Leipus
    • 2
  • Donatas Surgailis
    • 2
  1. 1.Department of EconomicsQueen Mary, University of LondonLondonU.K.
  2. 2.Lithuania, and Institute of Mathematics and InformaticsVilnius UniversityNaugardukoLithuania

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