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

27 Pages Posted: 21 Jul 2008

See all articles by Liudas Giraitis

Liudas Giraitis

University of York - Department of Mathematics and Economics

Donatas Surgailis

Institute of Mathematics and Informatics, Lithuania

Date Written: March 2000

Abstract

JEL Classification: C13, C14

Suggested Citation

Giraitis, Liudas and Surgailis, Donatas, A Model for Long Memory Conditional Heteroscedasticity - (Now Published in Annals of Applied Probability, 10 (2000), Pp.1002-1024.) (March 2000). LSE STICERD Research Paper No. EM382, Available at SSRN: https://ssrn.com/abstract=1162576

Liudas Giraitis (Contact Author)

University of York - Department of Mathematics and Economics ( email )

Heslington, York YO10 5DD
United Kingdom

Donatas Surgailis

Institute of Mathematics and Informatics, Lithuania ( email )

Akademijos 4
LT-2600 Vilnius

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