R. T. Baillie, T. Bollerslev, and H. O. Mikkelsen, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.74, issue.1, pp.3-30, 1996.
DOI : 10.1016/S0304-4076(95)01749-6

B. Basrak, R. A. Davis, and T. Mikosch, Regular variation of GARCH processes, Stochastic Processes and their Applications, pp.95-115, 2002.
DOI : 10.1016/S0304-4149(01)00156-9

P. Bougerol and N. Picard, Stationarity of Garch processes and of some nonnegative time series, Journal of Econometrics, vol.52, issue.1-2, pp.115-127, 1992.
DOI : 10.1016/0304-4076(92)90067-2

L. Giraitis, R. Leipus, and D. Surgailis, ARCH(???) Models and Long Memory Properties, 2007.
DOI : 10.1007/978-3-540-71297-8_3

L. Giraitis and D. Surgailis, ARCH-type bilinear models with double long memory, Stochastic Processes and their Applications, pp.275-300, 2002.
DOI : 10.1016/S0304-4149(02)00108-4
URL : http://doi.org/10.1016/s0304-4149(02)00108-4

V. Kazakevi?ius and R. Leipus, A new theorem on the existence of invariant distributions with applications to ARCH processes, Journal of Applied Probability, vol.16, issue.01, pp.147-162, 2003.
DOI : 10.1016/S0304-4149(00)00085-5

P. Kokoszka and R. Leipus, Change-Point Estimation in ARCH Models, Bernoulli, vol.6, issue.3, pp.513-539, 2000.
DOI : 10.2307/3318673

D. B. Nelson, Stationarity and Persistence in the GARCH(1,1) Model, Econometric Theory, vol.76, issue.03, pp.318-334, 1990.
DOI : 10.1016/0304-4076(86)90063-1