LARCH, Leverage and Long Memory
Year of publication: |
2003-10
|
---|---|
Authors: | Giraitis, Liudas ; Leipus, Remigijus ; Robinson, Peter M ; Surgailis, Donatas |
Institutions: | Suntory and Toyota International Centres for Economics and Related Disciplines, LSE |
Subject: | Leverage | long memory | linear ARCH | LARCH | finiteness of moments |
-
LARCH, leverage and long memory
Giraitis, Liudas, (2003)
-
Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida, (2021)
-
A new look at Cryptocurrencies
Phillip, Andrew, (2018)
- More ...
-
Giraitis, Liudas, (2000)
-
Whittle Estimation of ARCH Models
Giraitis, Liudas, (2000)
-
Giraitis, Liudas, (1997)
- More ...