LARCH, leverage and long memory

By Liudas Giraitis, Remigijus Leipus, Peter M. Robinson, Donatas Surgailis. 2003

82 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/086746c77f6aa6a1941cb10c1772a85abd1cbc36

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Citations in the corpus

ASYMPTOTIC NORMALITY OF THE QUASI MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES (2007, methodology): “models introduced by Doukhan et al. [9] are extensions of the univariate LARCH(∞) models of Giraits et al. [ 17 ].”
On discriminating between long-range dependence and changes in mean (2006, background): “[17, 19, 20] and Berkes and Horváth [6], among others.”
Inequality Constraints in the Fractionally Integrated GARCH Model (2006, background): “Alternative specifications were suggested by Davidson (2004), Giraitis, Robinson, and Surgailis (2004), Karanasos, Psaradakis, and Sola (2004), and Zaffaroni (2004).”
ARCH-type bilinear models with double long memory (2002, methodology): “Lemma 5.1 (Giraitis et al., 2001).”
GARCH Models (2010, unknown): “LARCH(∞) models were introduced by Robinson (1991) and their probability properties studied by Giraitis, Robinson and Surgailis (2000), Giraitis and Surgailis (2002), Berkes and Horváth (2003a) and Giraitis et al. (2004).”
WEAKLY DEPENDENT CHAINS WITH INFINITE MEMORY (2007, background): “The LARCH(∞) model of [19, 16] corresponds to the special case of linear functions αj(x) = cjx with k × d matrices cj.”
Recent Advances in ARCH Modelling (2007, background): “as t in the case of renewal switching α0t with inter-renewal distribution (49).”
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “In the GARCH case, a corresponding specification has been proposed by Karanasos et al. (2004) based on an ARMA representation of GARCH processes and is closely related to the models by Zaffaroni (2004), Koulikov (2003) and Giraitis et al. (2004).”