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
Pages
7
From page
755
To page
761
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
Serial Year
2008
Journal title
Stochastic Processes and their Applications
Record number
1577975
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