ON STATIONARITY IN THE ARCH(∞) MODEL
研究了ARCH(∞)模型的严格平稳解存在的非限制性条件，将Nelson(1990)和Bougerol & Picard(1992)的结果推广到ARCH(∞)模型。
We continue investigation of the ARCH(∞) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3–22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318–334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115–127) to the ARCH(∞) model.