Doukhan, Paul; Teyssière, Gilles; Winant, Pablo - Centre de Recherche en Économie et Statistique … - 2005
We introduce a vector version of the LARCH(1) equation yielding asimple approach to various models like bilinear or GARCH models. To this aim weprovide an explicit chaotic expansion of a solution for this ARCH(1) equation, andshow the uniqueness of this solution under reasonable conditions....