A model for long memory conditional heteroscedasticity

By Liudas Giraitis, Peter M. Robinson, Donatas Surgailis. 2000

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8d4c7fe3c6f7ec531aaea5040a694162d0736706

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

ARCH-type bilinear models with double long memory (2002, methodology): “Consider (5.7). According to Giraitis et al. (2000b) , as t →∞ , rt := cov(Y 2 0 ;Y 2 t ) ∼ c4t 2d”
Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001, methodology): “Giraitis, Robinson, and Surgailis (2000) have shown that under the condition L(Eε40) 1/2 ∑∞ j=1 ψ 2 j 1, where L = 7 for the Gaussian case and L = 11 in other cases, there exists a stationary solution to the two previous equations, such that the sequence of squares {R2t }∞t=1 has a covariance…”
Testing for long memory in the presence of a general trend (2001, methodology): “We do not verify the convergence of the finite dimensional distributions here, as it can be established in a completely analogous way to the convergence of the one-dimensional distributions in Theorem 5.1 of Giraitis et al. (2000b).”
Space‐time modelling of trends in temperature series (2011, background): “See Baillie et al. (1996) and Giraitis et al. (2000) for the definition of different long memory volatility time series processes and Palacios and Steel (2006) and Huang et al. (2011) for models for spatial processes.”
On discriminating between long-range dependence and changes in mean (2006, background): “[17, 19, 20] and Berkes and Horváth [6], among others.”
Modelling and Forecasting Multivariate Realized Volatility (2011, methodology): “A prominent feature of volatility is its strong persistence, which motivated the development of the integrated GARCH (Engle and Bollerslev, 1986), the fractionally integrated GARCH (Baillie et al., 1996) and the linear ARCH (Robinson, 1991; Giraitis et al., 2000) models.”
Long memory time series (2003, methodology): “So far as model (4.4) is concerned, Giraitis, Robinson and Surgailis (2000) have shown that if the weights αj decay like jd−1, 0 d 12 , then any integral power xkt , such as the square, has long memory autocorrelation, satisfying (1.7) irrespective of k.”
Split invariance principles for stationary processes. (2011, unknown): “, [20]) have completely different properties.”