Donatas Surgailis

Finance · 2000–2012

A researcher in the Science corpus: 8 papers; trusts 27 researchers and is trusted by 27 researchers here, as inferred from the citation graph.

Subfields

• Finance — 42 citations into it; #1,588 of 10,518 by trust here, #3,208 by citations
• Economics and Econometrics — 32 citations into it; #4,524 of 23,481 by trust here, #9,259 by citations
• Statistics and Probability — 18 citations into it; #6,778 of 12,932 by trust here, #10,275 by citations
• Mathematical Physics — 7 citations into it

Whom Donatas Surgailis trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Liudas Giraitis
2. Piotr Kokoszka
3. Robert F. Engle
4. István Berkes
5. Tim Bollerslev
6. Daniel B. Nelson
7. Peter M. Robinson
8. Remigijus Leipus
9. Lajos Horv'ath
10. S. Ling

Who trusts Donatas Surgailis overall

1. Liudas Giraitis
2. Alan Kirman
3. Jean‐François Coeurjolly
4. Piotr Fryzlewicz
5. Jean‐Marc Bardet
6. Jérôme Dedecker
7. Peter M. Robinson
8. A. Lindner
9. Paul Doukhan
10. Gilles Teyssière

Papers from Donatas Surgailis's perspective

Ordered by how strongly the researchers Donatas Surgailis trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Long Memory and Regime Switching
4. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
5. The efficiency of the estimators of the parameters in GARCH processes
6. Empirical Process of the Squared Residuals of an ARCH Sequence
7. Stationarity and the existence of moments of a family of GARCH processes
8. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
9. Analysis of Financial Time Series
10. LARCH, leverage and long memory

Their papers

• A model for long memory conditional heteroscedasticity (2000) — 110 citations
• Recent Advances in ARCH Modelling (2007) — 90 citations
• Asymptotic Expansion of the Empirical Process of Long Memory Moving Averages (2002) — 100 citations
• Asymptotics of M-estimators in two-phase linear regression models (2003) — 65 citations
• Large Sample Inference for Long Memory Processes (2012) — 297 citations
• LARCH, leverage and long memory (2003) — 82 citations
• ARCH-type bilinear models with double long memory (2002) — 82 citations
• Asymptotics of empirical processes of long memory moving averages with infinite variance (2001) — 50 citations