| Title |
New stationarity conditions for IARCH processes |
| Authors |
Kazakevičius, Vytautas |
| DOI |
10.1017/jpr.2026.10101 |
| Full Text |
|
| Is Part of |
Journal of applied probability.. Cambridge : Cambridge University Press. 2026, Early Access, p. 1-13.. ISSN 0021-9002. eISSN 1475-6072 |
| Keywords [eng] |
ARCH processes ; IARCH problem ; stationarity conditions |
| Abstract [eng] |
We prove the existence of a stationary IARCH (integrated autoregressive conditionally heteroskedastic) process for a class of models with polynomially decaying coefficients. |
| Published |
Cambridge : Cambridge University Press |
| Type |
Journal article |
| Language |
English |
| Publication date |
2026 |
| CC license |
|
