Donatas Surgailis

Institute of Mathematics and Informatics, Lithuania

Akademijos 4

LT-2600 Vilnius

SCHOLARLY PAPERS

7

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42

SSRN CITATIONS
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4

CROSSREF CITATIONS

12

Scholarly Papers (7)

1.
Downloads 26 (617,082)

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 26 (635,006)

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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
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 16 (688,085)
Citation 5

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3.

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

Journal of Time Series Analysis, Vol. 41, Issue 4, pp. 520-535, 2020
Number of pages: 16 Posted: 30 Sep 2020
affiliation not provided to SSRN, University of Nantes, Aarhus University and Institute of Mathematics and Informatics, Lithuania
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Random‐coefficient autoregression, tail index estimator, measurement error, panel data, long memory process

4.

Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory

Journal of Time Series Analysis, Vol. 40, Issue 4, pp. 493-518, 2019
Number of pages: 26 Posted: 29 May 2020
Hira Koul and Donatas Surgailis
Michigan State University and Institute of Mathematics and Informatics, Lithuania
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Gaussian, non‐Gaussian, Wiener–Itô integrals

5.

Asymptotic Distributions of Some Scale Estimators in Nonlinear Models with Long Memory Errors Having Infinite Variance

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 273-298, 2018
Number of pages: 26 Posted: 16 Apr 2018
Hira Koul and Donatas Surgailis
Michigan State University and Institute of Mathematics and Informatics, Lithuania
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Median, absolute residuals, pairwise absolute differences

6.

QMLE for Quadratic Arch Model with Long Memory

Journal of Time Series Analysis, Vol. 38, Issue 4, pp. 535-551, 2017
Number of pages: 17 Posted: 03 Jun 2017
Ieva Grublytė, Donatas Surgailis and Andrius Škarnulis
University of Cergy-Pontoise, Institute of Mathematics and Informatics, Lithuania and Vilnius University
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quadratic ARCH process, LARCH model, long memory, parametric estimation, quasi‐maximum likelihood

7.

Contemporaneous Aggregation of Triangular Array of Random‐Coefficient AR(1) Processes

Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 16-39, 2014
Number of pages: 24 Posted: 17 Dec 2013
Anne Philippe, Donata Puplinskaite and Donatas Surgailis
University of Nantes, University of Nantes and Institute of Mathematics and Informatics, Lithuania
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Aggregation, random‐coefficient AR(1) process, triangular array, infinitely divisible distribution, partial sums process, long memory, disaggregation