Donatas Surgailis

Institute of Mathematics and Informatics, Lithuania

Akademijos 4

LT-2600 Vilnius

  • Institute of Mathematics and Informatics, Lithuania

SCHOLARLY PAPERS

2

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121

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4

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12

Scholarly Papers (2)

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1.

Larch, Leverage and Long Memory

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Larch, Leverage and Long Memory

LSE STICERD Research Paper No. EM460
Number of pages: 32 Posted: 21 Jul 2008
Liudas Giraitis and Donatas Surgailis
University of York - Department of Mathematics and Economics and Institute of Mathematics and Informatics, Lithuania
Downloads 83 (577,290)

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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

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leverage, linear ARCH, long-memory

2.

A Model for Long Memory Conditional Heteroscedasticity - (Now Published in Annals of Applied Probability, 10 (2000), Pp.1002-1024.)

LSE STICERD Research Paper No. EM382
Number of pages: 27 Posted: 21 Jul 2008
Liudas Giraitis and Donatas Surgailis
University of York - Department of Mathematics and Economics and Institute of Mathematics and Informatics, Lithuania
Downloads 38 (820,186)
Citation 5

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