Similar Search Results

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

Variance-type estimation of long memory

Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 1998

Persistent link: https://www.econbiz.de/10000996492

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

Renewal regime switching and stable limit laws

Leipus, Remigijus; Paulauskas, Vygantas; Surgailis, Donatas - In: Journal of econometrics 129 (2005) 1/2, pp. 299-327

Persistent link: https://www.econbiz.de/10003172792

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