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LARCH, leverage, and long memory

Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2004) LARCH, leverage, and long memory. Journal of Financial Econometrics, 2 (2). pp. 177-210. ISSN 1479-8417

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Identification Number: 10.1093/jjfinec/nbh008
Item Type: Article
Official URL:
Additional Information: Deposited 24/06/2005. This is a pre-copy-editing, author-produced PDF of an article accepted for publication in the Journal of Financial Econometrics following peer review. The definitive publisher-authenticated version [Journal of Financial Econometrics Vol. 2, No. 2, pp. 177-210 (2004)] is available online at: LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL ( of the LSE Research Online website.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Date Deposited: 15 Feb 2008
Last Modified: 10 Oct 2021 23:08

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