Browsing by Author "Teyssière, Gilles"

Now showing items 1-5 of 5

2005-09-16Buch

Adaptive Estimation for a Time Inhomogeneous Stochastic-Volatility Model

Härdle, Wolfgang Karl; Teyssière, Gilles; Spokoiny, Vladimir
1999-08-17Buch

Empirical process of the squared residuals of an ARCH sequence

Horvath, Lajos; Kokoszka, Piotr; Teyssière, Gilles
2005-09-29Buch

Long-Memory Analysis

Teyssière, Gilles
1998-09-01Buch

Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes

Teyssière, Gilles

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced ...
1999-05-31Buch

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles