Doukhan, Paul; Madre, Hélène; Rosenbaum, Mathieu - Centre de Recherche en Économie et Statistique … - 2005
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...
