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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

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

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

WHITTLE ESTIMATION OF ARCH MODELS

Giraitis, Liudas; Robinson, Peter M. - In: Econometric Theory 17 (2001) 03, pp. 608-631

Persistent link: https://www.econbiz.de/10005140595

REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS

Koul, Hira L.; Baillie, Richard T.; Surgailis, Donatas - In: Econometric Theory 20 (2004) 03, pp. 485-512

Persistent link: https://www.econbiz.de/10005610347

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

ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas; … - In: Econometric Theory 30 (2014) 01, pp. 252-284

Persistent link: https://www.econbiz.de/10010734977

EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN

Velasco, Carlos; Robinson, Peter M. - In: Econometric Theory 17 (2001) 03, pp. 497-539

Persistent link: https://www.econbiz.de/10005250169

Continuous Time Econometric Modelling A.R. Bergstrom Oxford University Press, 1991

Robinson, Peter M. - In: Econometric Theory 8 (1992) 04, pp. 571-579

Persistent link: https://www.econbiz.de/10008739398