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On the power of R/S-type tests under contiguous and semi-long memory alternatives
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010695221
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Rescaled variance and related tests for long memory in volatility and levels
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010695570
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Stationary ARCH models : dependence structure and central limit theorem
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric theory 16 (2000) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10001568487
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ARTICLES - Stationary ARCH Models: Dependence Structure and Central Limit Theorem
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric theory 16 (2000) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10006984546
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SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Econometric theory 26 (2010) 2, pp. 383-406
Persistent link: https://www.econbiz.de/10008388025
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On the power of R/S-type tests under contiguous and semi long memory alternatives
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 2002
Persistent link: https://www.econbiz.de/10001720510
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Rescaled variance and related tests for long memory in volatility and levels
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of econometrics 112 (2003) 2, pp. 265-294
Persistent link: https://www.econbiz.de/10001731317
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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
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Rescaled variance and related tests for long memory in volatility and levels
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of econometrics 112 (2003) 2, pp. 265-294
Persistent link: https://www.econbiz.de/10006764510
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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