Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particular on the long memory nature of asset returns volatility. We propose an...

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main...

Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case of hyperbolically decaying coefficients are included, such as the...

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...

Unit root in output, an exceptional 2% rate of convergence, and no change in the underlying dynamics of output seems to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply long-memory in nonlinear functions of xt is discussed. Empirical observation...

Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established. We require the ARCH weights to decay at least hyperbolically,with a faster rate needed for the central limit theorem than for the...