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of 22
pro vyhledávání: '"Škarnulis, Andrius"'
We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublyt\.e and \v{S}karnulis (2015) with conditional variance given by a strictly positive quadratic form of
Externí odkaz:
http://arxiv.org/abs/1509.06422
Autor:
Grublytė, Ieva, Škarnulis, Andrius
We study the existence and properties of stationary solution of ARCH-type equation $r_t= \zeta_t \sigma_t$, where $\zeta_t$ are standardized i.i.d. r.v.'s and the conditional variance satisfies an AR(1) equation $\sigma^2_t = Q^2\big(a + \sum_{j=1}^\
Externí odkaz:
http://arxiv.org/abs/1509.01708
Publikováno v:
Econometric Theory, 2018 Dec 01. 34(6), 1159-1179.
Externí odkaz:
https://www.jstor.org/stable/26613604
Publikováno v:
Intelektinė ekonomika / Intellectual Economics. 5(4):547-559
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=109885
Autor:
Grublytė, Ieva1,2 (AUTHOR) ieva.grublyte@mii.vu.lt, Škarnulis, Andrius2 (AUTHOR)
Publikováno v:
Statistics. Feb2017, Vol. 51 Issue 1, p123-140. 18p.
Autor:
Škarnulis, Andrius1 andrius.skarnulis@yahoo.com, Kolisovas, Danielius2 d_kolisovas@mruni.eu
Publikováno v:
Monetary Studies (Bank of Lithuania). Feb2015, Vol. 17-19 Issue 1, p56-73. 18p.
Autor:
Škarnulis, Andrius
This dissertation focuses on quadratic ARCH models with long memory. The class of ARCH models was introduced in 1982 by Nobel prize winner Robert Engle. The main purpose of the introduction of these models was to mathematically describe empirical fea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::283aec7bb221616e508ab1f765752261
https://repository.vu.lt/VU:ELABAETD22467247&prefLang=en_US
https://repository.vu.lt/VU:ELABAETD22467247&prefLang=en_US
Publikováno v:
Pinigų studijos 2015, Nr. 1, p. 56-72.
Straipsnyje apžvelgiami su infliacija susietų vyriausybės obligacijų privalumai ir trūkumai. Remiamasi emitentų patirtimi ir mokslinėje literatūroje nuo šių vertybinių popierių atsiradimo nagrinėtais aspektais. Įvardijama galima nauda i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2712::3807e1bcf7938742a444e9153d3611a5
https://www.lituanistika.lt/content/54401
https://www.lituanistika.lt/content/54401
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::5e730594e53d827716a190f77a35bbfa
https://hdl.handle.net/10419/130780
https://hdl.handle.net/10419/130780
Akademický článek
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