Weak Dependence Beyond Mixing for Infinite ARCH-type Bilinear Models
Weak dependence properties of ARCH-type bilinear models as introduced by Doukhanand Louhichi (1999) is investigated here. Those models are usually considered for their longrange dependence properties, see Giraitis and Surgailis (2002). Decay of the weak dependencecoefficient sequence are established under different specifications of the model’s coefficients.This implies various limit theorems and asymptotics for statistical procedures.We also derivejoint densities for such models in case of regular inputs.
Year of publication: |
2005
|
---|---|
Authors: | Doukhan, Paul ; Madre, Hélène ; Rosenbaum, Mathieu |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Weak dependence beyond mixing for infinite ARCH-type bilinear models
Doukhan, Paul, (2005)
-
Bardet, Jean-Marc, (2005)
-
A Functional Limit Theorem for weakly Dependent Processes and its Applications
Bardet, Jean-Marc, (2005)
- More ...