1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.ST2011
Non-invertibility in Some Heteroscedastic Models
Alexey Sorokin
In order to calculate the unobserved volatility in conditional heteroscedastic time series models, the natural recursive approximation is very often used. Following \cite{Straumann…
math.ST2006★ 1 cited
Uniform bound for strong mixing coefficient and maximum of residual empirical process of ARCH sequence
Alexey Sorokin
The paper considers two main results. First one is the uniform bound for strong mixing coefficient of ARCH sequence. Second is the bound for maximum of residual empirical process i…