{"id":"https://openalex.org/W2767004591","doi":"https://doi.org/10.1017/s0266466617000391","title":"STATIONARY INTEGRATED ARCH(\u221e) AND AR(\u221e) PROCESSES WITH FINITE VARIANCE","display_name":"STATIONARY INTEGRATED ARCH(\u221e) AND AR(\u221e) PROCESSES WITH FINITE VARIANCE","publication_year":2017,"publication_date":"2017-10-17","ids":{"openalex":"https://openalex.org/W2767004591","doi":"https://doi.org/10.1017/s0266466617000391","mag":"2767004591"},"language":"en","primary_location":{"id":"doi:10.1017/s0266466617000391","doi":"https://doi.org/10.1017/s0266466617000391","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0266466617000391","pdf_url":null,"source":{"id":"https://openalex.org/S49389958","display_name":"Econometric Theory","issn_l":"0266-4666","issn":["0266-4666","1469-4360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Theory","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://qmro.qmul.ac.uk/xmlui/bitstream/123456789/28326/1/Giraitis%20Stationary%20integrated%20ARCH%28%e2%88%9e%29%20and%20AR%28%e2%88%9e%29%20processes%20with%20finite%20variance%202017%20Accepted.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5081924300","display_name":"Liudas Giraitis","orcid":"https://orcid.org/0000-0002-0852-4541","observed_orcids":["https://orcid.org/0000-0002-0852-4541"]},"institutions":[{"id":"https://openalex.org/I124357947","display_name":"University of London","ror":"https://ror.org/04cw6st05","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947"]},{"id":"https://openalex.org/I166337079","display_name":"Queen Mary University of London","ror":"https://ror.org/026zzn846","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I166337079"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Liudas Giraitis","raw_affiliation_strings":["Queen Mary, London University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Queen Mary, London University","institution_ids":["https://openalex.org/I124357947","https://openalex.org/I166337079"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026622957","display_name":"\u0414\u043e\u043d\u0430\u0442\u0430\u0441 \u0421\u0443\u0440\u0433\u0430\u0439\u043b\u0438\u0441","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I173212132","display_name":"Vilnius University","ror":"https://ror.org/03nadee84","country_code":"LT","type":"education","lineage":["https://openalex.org/I173212132"]}],"countries":["LT"],"is_corresponding":false,"raw_author_name":"Donatas Surgailis","raw_affiliation_strings":["Vilnius University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Vilnius University","institution_ids":["https://openalex.org/I173212132"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5030459210","display_name":"Andrius \u0160karnulis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I173212132","display_name":"Vilnius University","ror":"https://ror.org/03nadee84","country_code":"LT","type":"education","lineage":["https://openalex.org/I173212132"]}],"countries":["LT"],"is_corresponding":false,"raw_author_name":"Andrius \u0160karnulis","raw_affiliation_strings":["Vilnius University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Vilnius University","institution_ids":["https://openalex.org/I173212132"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":0.3915,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.72952201,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":"34","issue":"6","first_page":"1159","last_page":"1179"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9735999703407288,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9735999703407288,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.01489999983459711,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.004000000189989805,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/long-range-dependence","display_name":"long-range dependence","score":0.8450000286102295},{"id":"https://openalex.org/keywords/figarch-model","display_name":"FIGARCH model","score":0.7089999914169312},{"id":"https://openalex.org/keywords/finite-fourth-moment","display_name":"finite fourth moment","score":0.6800000071525574},{"id":"https://openalex.org/keywords/covariance-stationarity","display_name":"covariance stationarity","score":0.8029999732971191},{"id":"https://openalex.org/keywords/existence-conditions","display_name":"existence conditions","score":0.609000027179718},{"id":"https://openalex.org/keywords/stationary-processes","display_name":"stationary processes","score":0.42800000309944153}],"concepts":[{"id":"https://openalex.org/C11312509","wikidata":"https://www.wikidata.org/wiki/Q12277","display_name":"Arch","level":2,"score":0.8767684698104858},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7924554347991943},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.6609344482421875},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.5741583108901978},{"id":"https://openalex.org/C2780990831","wikidata":"https://www.wikidata.org/wiki/Q319141","display_name":"Conjecture","level":2,"score":0.572472333908081},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.5682038068771362},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5587899684906006},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.45373669266700745},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.33745190501213074},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3285467028617859},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17638751864433289},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.06752488017082214},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C147176958","wikidata":"https://www.wikidata.org/wiki/Q77590","display_name":"Civil engineering","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1017/s0266466617000391","doi":"https://doi.org/10.1017/s0266466617000391","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0266466617000391","pdf_url":null,"source":{"id":"https://openalex.org/S49389958","display_name":"Econometric Theory","issn_l":"0266-4666","issn":["0266-4666","1469-4360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Theory","raw_type":"journal-article"},{"id":"pmh:oai:qmro.qmul.ac.uk:123456789/28326","doi":null,"is_oa":true,"landing_page_url":"http://qmro.qmul.ac.uk/xmlui/handle/123456789/28326","pdf_url":"https://qmro.qmul.ac.uk/xmlui/bitstream/123456789/28326/1/Giraitis%20Stationary%20integrated%20ARCH%28%e2%88%9e%29%20and%20AR%28%e2%88%9e%29%20processes%20with%20finite%20variance%202017%20Accepted.pdf","source":{"id":"https://openalex.org/S4306400530","display_name":"Queen Mary Research Online (Queen Mary University of London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I166337079","host_organization_name":"Queen Mary University of London","host_organization_lineage":["https://openalex.org/I166337079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"pmh:oai:RePEc:cup:etheor:v:34:y:2018:i:06:p:1159-1179_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0266466617000391/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:qmro.qmul.ac.uk:123456789/28326","doi":null,"is_oa":true,"landing_page_url":"http://qmro.qmul.ac.uk/xmlui/handle/123456789/28326","pdf_url":"https://qmro.qmul.ac.uk/xmlui/bitstream/123456789/28326/1/Giraitis%20Stationary%20integrated%20ARCH%28%e2%88%9e%29%20and%20AR%28%e2%88%9e%29%20processes%20with%20finite%20variance%202017%20Accepted.pdf","source":{"id":"https://openalex.org/S4306400530","display_name":"Queen Mary Research Online (Queen Mary University of London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I166337079","host_organization_name":"Queen Mary University of London","host_organization_lineage":["https://openalex.org/I166337079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities","score":0.5699999928474426}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2767004591.pdf","grobid_xml":"https://content.openalex.org/works/W2767004591.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W9033952","https://openalex.org/W573801292","https://openalex.org/W595580781","https://openalex.org/W1509248257","https://openalex.org/W1523228994","https://openalex.org/W1594563152","https://openalex.org/W1969604147","https://openalex.org/W1969960895","https://openalex.org/W1972610679","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2001806364","https://openalex.org/W2009721612","https://openalex.org/W2033640179","https://openalex.org/W2034506910","https://openalex.org/W2035835960","https://openalex.org/W2053933740","https://openalex.org/W2054648992","https://openalex.org/W2065194732","https://openalex.org/W2096489060","https://openalex.org/W2140971281","https://openalex.org/W2144529031","https://openalex.org/W2152468506","https://openalex.org/W2408011753","https://openalex.org/W2923350137","https://openalex.org/W2945736748","https://openalex.org/W3121402597","https://openalex.org/W3124733080","https://openalex.org/W3140169868","https://openalex.org/W3148870508","https://openalex.org/W4242671632","https://openalex.org/W4292963524"],"related_works":["https://openalex.org/W3026358768","https://openalex.org/W2964292522","https://openalex.org/W2606009334","https://openalex.org/W3106181326","https://openalex.org/W2357490967","https://openalex.org/W2387252350","https://openalex.org/W2165631590","https://openalex.org/W1980083556","https://openalex.org/W2054383380","https://openalex.org/W3122319005"],"abstract_inverted_index":{"We":[0,51],"prove":[1,53],"the":[2,12,29,35,48],"long":[3,59],"standing":[4],"conjecture":[5],"of":[6,14,37],"Ding":[7],"and":[8,31,43],"Granger":[9],"(1996)":[10],"about":[11],"existence":[13,36],"a":[15],"stationary":[16,39],"Long":[17],"Memory":[18],"ARCH":[19],"model":[20],"with":[21],"finite":[22],"fourth":[23],"moment.":[24],"This":[25],"result":[26],"follows":[27],"from":[28],"necessary":[30],"sufficient":[32],"conditions":[33],"for":[34],"covariance":[38],"integrated":[40],"AR(\u221e),":[41],"ARCH(\u221e),":[42],"FIGARCH":[44],"models":[45],"obtained":[46],"in":[47],"present":[49],"article.":[50],"also":[52],"that":[54],"such":[55],"processes":[56],"always":[57],"have":[58],"memory.":[60]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2017-11-10T00:00:00"}
