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ARCH (∞) models and long memory properties

Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Handbook of financial time series, (pp. 71-84). 2009

Persistent link: https://www.econbiz.de/10003833780

Comment on "Weak convergence to a matrix stochastic integral with stable processes"

Paulauskas, Vygantas; Račev, Svetlozar T.; Fabozzi, … - In: Econometric theory 27 (2011) 4, pp. 907-911

Persistent link: https://www.econbiz.de/10009311663

A model for long memory conditional heteroscedasticity

Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000

Persistent link: https://www.econbiz.de/10001490719

Variance-type estimation of long memory

Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 1998

Persistent link: https://www.econbiz.de/10000996492

Stationary integrated Arch(∞) and Ar(∞) processes with finite variance

Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - In: Econometric theory 34 (2018) 6, pp. 1159-1179

Persistent link: https://www.econbiz.de/10012038038

Detection and estimation of changes in ARCH processes

Kokoszka, Piotr; Leipus, Remigijus - In: Measuring risk in complex stochastic systems, (pp. 149-160). 2000

Persistent link: https://www.econbiz.de/10001579730

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

Persistent link: https://www.econbiz.de/10009581091