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Strict Stationarity of INARCH(∞) Models
1 : Center of Quantitative Economics,
(CQE)
This paper establishes necessary and sufficient conditions for the existence of
a strictly stationary solution for integer-valued autoregressive conditional heteroscedasticity
(INARCH) processes. The results apply to INGARCH(p, q) and integrated
INIGARCH(p, q) models, and its long-memory versions with hyperbolically decaying
coefficients.
