Gilles Teyssičre
Gilles Teyssičre
Data Scientist, Mathematician
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Cited by
Cited by
Rescaled variance and related tests for long memory in volatility and levels.
L Giraitis, P Kokoszka, R Leipus, G Teyssičre
Journal of Econometrics 112 (2), 265-294, 2003
Microeconomic models for long memory in the volatility of financial time series.
A Kirman, G Teyssičre
snde 5 (4), 281-302., 2002
Detection of multiple change-points in multivariate time series.
M Lavielle, G Teyssičre
Lithuanian Mathematical Journal 46 (3), 287-306, 2006
Long Memory in Economics
G Teyssičre, A Kirman, ( editors)
Springer Berlin, 2007
Adaptive detection of multiple change–points in asset price volatility.
M Lavielle, G Teyssičre
Long Memory in Economics, Springer, Berlin, 129-156, 2007
Empirical process of the squared residuals of an ARCH sequence.
L Horváth, P Kokoszka, G Teyssičre
Annals of Statistics 29 (2), 445-469, 2001
Double long-memory financial time series.
G Teyssičre
Working Paper. Univ. of London, UK., 1996
A LARCH (∞) vector valued process.
P Doukhan, G Teyssičre, P Winant
Dependence in Probability and Statistics. Lecture Notes in Statistics. 187 …, 2006
Multivariate long-memory ARCH modelling for high frequency foreign exchange rates.
G Teyssičre
Proceedings of the Second High Frequency Data in Finance Conference, Olsen …, 1998
Change-point detection in GARCH models: asymptotic and bootstrap tests.
P Kokoszka, G Teyssičre
Preprint, University of Utah., 2002
Modelling exchange rates volatility with multivariate long memory ARCH processes.
G Teyssičre
Working paper, Humboldt University Berlin., 1997
The increment ratio statistic.
D Surgailis, G Teyssičre, M Vaiciulis
Journal of Multivariate Analysis 99 (3), 510-541, 2008
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
L Giraitis, P Kokoszka, R Leipus, G Teyssičre
Statistical Inference for Stochastic Processes 3 (1), 113-128, 2000
Wavelet analysis of nonlinear long-range dependent processes. Applications to financial time series.
G Teyssičre, P Abry
Long Memory in Economics, Springer, Berlin, 173-238, 2007
Testing for bubbles and change-points
A Kirman, G Teyssičre
Journal of Economic Dynamics and Control 29 (4), 765-799, 2005
Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals.
L Horváth, P Kokoszka, G Teyssičre
Journal of Statistical Computation and Simulation 74 (7), 469-485, 2004
Bubbles and long-range dependence in asset prices volatilities
A Kirman, G Teyssičre
Equilibrium, Markets and Dynamics., 307-327, 2002
On the power of R/S-type tests under contiguous and semi-long memory alternatives.
L Giraitis, P Kokoszka, R Leipus, G Teyssičre
Acta Applicandae Mathematicae 78 (1), 285-299, 2003
Dependence in Probability and Statistics.
G Lang, D Surgailis, G Teyssičre, ( editors)
Lecture Notes in Statistics. 200, 2010
Adaptive estimation for a time inhomogeneous stochastic-volatility model.
W Härdle, V Spokoiny, G Teyssičre
Working Paper. Humboldt University, Berlin., 1999
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