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