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Detection of nonconstant long memory parameter
Lavancier, Frédéric; Leipus, Remigijus; Philippe, Anne; … - In: Econometric theory 29 (2013) 5, pp. 1009-1056
Persistent link: https://www.econbiz.de/10010248314
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A test for stationarity versus trends and unit roots for a wide class of dependent errors
Giraitis, Liudas; Leipus, Remigijus; Philippe, Anne - In: Econometric theory 22 (2006) 6, pp. 989-1029
Persistent link: https://www.econbiz.de/10003396931
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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719
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Empirical CLT for a class of long memory Bernoulli shifts
Doukhan, Paul; Lang, Gabriel; Surgailis, Donatas; … - 2003
Persistent link: https://www.econbiz.de/10001762369
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 177-210
Persistent link: https://www.econbiz.de/10002214253
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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
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Integrated ARCH, FIGARCH and AR models : origins of long memory
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...
Persistent link: https://www.econbiz.de/10011405303
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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
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LARCH, leverage and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003
Persistent link: https://www.econbiz.de/10001818318