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ARCH-type bilinear models with double long memory

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References

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2001The memory of stochastic volatility models96 cited

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2000

A model for long memory conditional heteroscedasticity

91 cited

1999The second moment and the autocovariance function of the squared errors of the GARCH model89 cited

Cited by

2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited
2007On the existence of some ARCH(∞) processes37 cited
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models30 cited
2003Stability of random coefficient ARCH models and aggregation schemes30 cited
2008An empirical central limit theorem with applications to copulas under weak dependence28 cited
2005Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p28 cited
2008On stationarity and ergodicity of the bilinear model with applications to GARCH models27 cited
2009ARCH(∞) Models and Long Memory Properties27 cited
2005Geometric Ergodicity of a Class of Markov Chains with Applications to Time Series Models27 cited
2015A new hyperbolic GARCH model24 cited
2013ON MIXTURE MEMORY GARCH MODELS22 cited
2007A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test16 cited