Title of article :
On the existence of some processes
Author/Authors :
Douc، نويسنده , , Randal and Roueff، نويسنده , , François and Soulier، نويسنده , , Philippe، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
A new sufficient condition for the existence of a stationary causal solution of an ARCH ( ∞ ) equation is provided. This condition allows us to consider coefficients with power-law decay, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.
Keywords :
ARCH processes , Long memory , Fractionally integrated processes
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
