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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

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

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

Persistent link: https://www.econbiz.de/10009581091

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

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) 6, pp. 989-1029

Persistent link: https://www.econbiz.de/10003396931

LARCH, leverage and long memory

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

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

Detection and estimation of changes in ARCH processes

Kokoszka, Piotr; Leipus, Remigijus - In: Measuring risk in complex stochastic systems, (pp. 149-160). 2000

Persistent link: https://www.econbiz.de/10001579730

Bagging binary and quantile predictors for time series

Lee, Tae-hwy; Yang, Yang - In: Journal of econometrics 135 (2006) 1/2, pp. 465-497

Persistent link: https://www.econbiz.de/10003376093

Predicting hotel demand using destination marketing organization's web traffic data

Yang, Yang; Pan, Bing; Song, Haiyan - In: Journal of travel research : a quarterly publication of … 53 (2014) 4, pp. 433-447

Persistent link: https://www.econbiz.de/10010379414

Modeling high frequency data with long memory and structural change : A-HYEGARCH model

Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28

In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...

Persistent link: https://www.econbiz.de/10011811728