or a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rₜ is the square of an inhomogeneous linear combination of rₛ, s < t, we give conditions under which, for integers l ≥ 2, rₜˡ has long memory autocorrelation and normalized partial sums of rₜˡ converge to fractional Brownian motion.
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Giraitis et al. (2000) studied this question.
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