Stability of random coefficient ARCH models and aggregation schemes

Journal of Econometrics

Volumn 120, Issue 1, 2004, Pages 139-158

  Kazakevičius, Vytautas ^a   Leipus, Remigijus ^a   Viano, Marie Claude ^b  

^a VILNIUS UNIVERSITY   (Lithuania)

^b UNIV LILLE   (France)

Author keywords

Aggregation; ARCH( ) model; Long memory; Random coefficients

Indexed keywords

FUNCTIONS; INTEGRATION; MATHEMATICAL MODELS; PERTURBATION TECHNIQUES; REGRESSION ANALYSIS; STABILITY; VECTORS;

ARCH(∞) MODEL; LONG MEMORY; RANDOM COEFFICIENTS;

RANDOM PROCESSES;

EID: 1542400360     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00209-4     Document Type: Article

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