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DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Lavancier, Frédéric; Leipus, Remigijus; Philippe, Anne; … - In: Econometric Theory 29 (2013) 05, pp. 1009-1056

Persistent link: https://www.econbiz.de/10010700042

AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS

Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Econometric Theory 26 (2010) 02, pp. 406-425

The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...

Persistent link: https://www.econbiz.de/10008516785

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric Theory 16 (2000) 01, pp. 3-22

Persistent link: https://www.econbiz.de/10005610331

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) 06, pp. 989-1029

Persistent link: https://www.econbiz.de/10005610526

ON STATIONARITY IN THE ARCH([infty infinity]) MODEL

Kazakevicius, Vytautas; Leipus, Remigijus - In: Econometric Theory 18 (2002) 01, pp. 1-16

Persistent link: https://www.econbiz.de/10005610560