STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
研究了一类非负ARCH(∞)模型的平稳解存在条件、Volterra级数显式表示、协方差函数慢衰减性质，并建立了鞅差移动平均表示和中心极限定理。
This paper studies a broad class of nonnegative ARCH(∞) models. Sufficient conditions for the existence of a stationary solution are established and an explicit representation of the solution as a Volterra type series is found. Under our assumptions, the covariance function can decay slowly like a power function, falling just short of the long memory structure. A moving average representation in martingale differences is established, and the central limit theorem is proved.