| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156450 | Stochastic Processes and their Applications | 2008 | 7 Pages |
Abstract
A new sufficient condition for the existence of a stationary causal solution of an ARCH(∞) equation is provided. This condition allows us to consider coefficients with power-law decay, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Randal Douc, François Roueff, Philippe Soulier,