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Remigijus Leipus
Vilnius University - Mathematics & Informatics
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Larch, Leverage and Long Memory
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Larch, Leverage, and Long Memory
Journal of Financial Econometrics, Vol. 2, No. 2, pp. 177-210, 2004
Posted: 29 Feb 2008
Liudas Giraitis
, Remigijus Leipus,
Peter M. Robinson
and
Donatas Surgailis
University of York - Department of Mathematics and Economics, Vilnius University - Mathematics & Informatics, London School of Economics & Political Science (LSE) - Department of Economics and Institute of Mathematics and Informatics, Lithuania
Abstract:
leverage, linear ARCH, long-memory
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