Browsing by Author "Kokoszka, P. S."
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Article
Nonlinearity of arch and stochastic volatility models and bartlett's formula
Kokoszka, P. S.; Politis, Dimitris Nicolas (2011)We review some notions of linearity of time series and show that ARCH or stochastic volatility (SV) processes are not only non-linear: they are not even weakly linear, i.e., they do not even have a martingale representation. ...