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LARCH, leverage and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

Persistent link: https://www.econbiz.de/10009439572

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

LARCH, leverage and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003

Persistent link: https://www.econbiz.de/10001818318

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

Recent advances in ARCH modelling

Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Long memory in economics : with 50 tables, (pp. 3-38). 2006

Persistent link: https://www.econbiz.de/10003375585

Aggregation of the random coefficient GLARCH (1,1) process

Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Econometric theory 26 (2010) 2, pp. 406-425

Persistent link: https://www.econbiz.de/10003968598

LARCH, Leverage and Long Memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M; … - Suntory and Toyota International Centres for Economics … - 2003

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

Persistent link: https://www.econbiz.de/10005797508

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

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė - In: Journal of Time Series Analysis 41 (2020) 4, pp. 520-535

Persistent link: https://www.econbiz.de/10012192371

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