Strict stationarity of Poisson integer-valued ARCH processes of order infinity

Segnon, Mawuli


Zusammenfassung

This paper establishes necessary and sufficient conditions for the existence of a unique strictly stationary and ergodic solution for integer-valued autoregressive conditional heteroscedasticity (INARCH) processes. We also provide conditions that guarantee existence of higher order moments. The results apply to integer-valued GARCH model, and its long-memory versions with hyperbolically decaying coefficients and turn out to be instrumental on deriving large sample properties of the maximum likelihood estimators of the model parameters.

Schlüsselwörter
INARCH processes; Stationarity; Ergodicity; Lyapunov exponent; Maximum likelihood estimation



Publikationstyp
Arbeitspapier / Working Paper

Begutachtet
Nein

Publikationsstatus
Veröffentlicht

Jahr
2022

Herausgeber
Center for Quantitative Economics (CQE)

Seitenanzahl
22

Band
102/2022

Reihe
CQE Working Papers

Ort
University of Muenster

Sprache
Englisch

Gesamter Text