Research & Publications

- This site migrated to North America and is currently being updated.
- The design is by
*Drawny.Ju*.

- D. Surgailis, G. Teyssière and M. Vaičiulis.
*The increment ratio statistic*.

*Journal of Multivariate Analysis*(2008) vol 99, 510-541.*MR2396977*, (Supplementary Material ) - M. Lavielle and G. Teyssière.
*Adaptive detection of multiple change-points in asset price volatility*.

In*Long-Memory in Economics*. G. Teyssière*et al.*editors, 129-156, Springer (2007).*MR2265058*, - G. Teyssière and P. Abry.
*Wavelet analysis of nonlinear long-range dependent processes. Applications to financial time series*.

In*Long-Memory in Economics*. G. Teyssière*et al.*editors, 173-238, Springer (2007).*MR2265060*, - D. Kateb, A. Seghier and G. Teyssière.
*Prediction, orthogonal polynomials and Toeplitz matrices: a fast and reliable approximation to the Durbin-Levinson algorithm*,

In*Long-Memory in Economics*. G. Teyssière*et al.*editors, 239-261, Springer (2007).*MR2265061* - M. Lavielle and G. Teyssière.
*Detection of multiple change-points in multivariate time series*.

*Lithuanian Mathematical Journal*(2006) vol 46, 287-306.*MR2285348*, -
M. Lavielle and G. Teyssière.
*Détection de ruptures multiples dans des séries temporelles multivariées*

*Lietuvos Matematikos Rinkinys*(2006) vol 46, 351-376, - P. Doukhan, G. Teyssière and P. Winant.
*A LARCH\((\infty)\) vector valued process*.

In*Dependence in Probability and Statistics.**Lecture Notes in Statistics*,, vol 187, 245-258, Springer (2006).*MR2283258*. - A. Kirman and G. Teyssière.
*Testing for bubbles and change-points*.

*Journal of Economic Dynamics and Control*(2005) vol 29, 765-799.*MR2129522*, - L. Horváth, P. Kokoszka and G. Teyssière.
*Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals*.

*Journal of Statistical Computation and Simulation*(2004) vol 74, 469-485.*MR2073226*, - P. Kokoszka, G. Teyssière and A. Zhang.
*Confidence intervals for the autocorrelations of the squares of GARCH sequences*.

In*Computational Science - ICCS 2004.**Lecture Notes in Computer Science*. M. Bubak*et al.*editors, vol 3039, 827-834, Springer (2004).*MR2233424*, Volume for the*Workshop on Computational Methods in Finance and Insurance*,*Kraków*, Poland, June 2004.*Slides* - L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière.
*On the power of \(R/S\)-type tests under contiguous and semi long-memory alternatives*.

*Acta Applicandae Mathematicae*(2003) vol 78, 285-299.*MR2024032*,*(Special Issue for the 8*,^{th}Vilnius Conference on Probability Theory and Mathematical Statistics)*Vilnius*, Lithuania. - G. Teyssière.
*Interaction models for common long-range dependence in asset price volatilities*.

Invited chapter in*Processes with Long Range Correlations: Theory and Applications.**Lecture Notes in Physics*. G. Rangarajan and M. Ding editors, vol 621, 251-269, Springer (2003).*DOI*, Invited lecture to the*International Conference on Long-Range Dependent Stochastic Processes and their Applications*,*Bangalore*, India, January 2002. - L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière.
*Rescaled variance and related tests for long memory in volatility and levels*.

*Journal of Econometrics*(2003) vol 112, 265-294.*MR1951145*, See also L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière,*Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels"*,

*Journal of Econometrics*(2005) vol 126, 571-572.*MR2155635*, - A. Kirman and G. Teyssière.
*Bubbles and Long Range Dependence in Asset Prices Volatilities*.

In*Equilibrium, Markets and Dynamics*. C.H. Hommes, R. Ramer and C. Withagen editors, 307-327, Springer (2002).

*DOI*. - G. Teyssière and A. Kirman.
*Microeconomic models for long-memory in the volatility of financial time series*.

*SNDE*(2002) vol 5, 281-302.*DOI*. - L. Horváth, P. Kokoszka and G. Teyssière.
*Empirical process of the squared residuals of an ARCH sequence*.

*The Annals of Statistics*(2001) vol 29, 445-469.*MR1863965*, - L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière.
*Semiparametric estimation of the intensity of long-memory in conditional heteroskedasticity*.

*Statistical Inference for Stochastic Processes*(2000) vol 3, 113-128.*(Special Issue on Limit Theorems and Long-Range Dependence).**MR1819290*, - G. Teyssière.
*Multivariate long-memory ARCH modelling for high frequency foreign exchange rates*.

In*Proceedings of the Second High Frequency Data in Finance (HFDF-II) Conference*,*Olsen & Associates*,*Zurich*, (1998).

*Long-Memory in Economics*

G. Teyssière and A. Kirman editors, Springer (2007).

*MR2263582*

ISBN (Hardcover): 978-3540226949

ISBN (Paperback): 978-3642061547

ISBN (eBook): 978-3540346258

*Dependence in Probability and Statistics*,
*Lecture Notes in Statistics*, Vol 200.

G. Lang, D. Surgailis and G. Teyssière editors, Springer (2010).

*MR2741808*

ISBN (Paperback): 978-3642141034

ISBN (eBook): 978-3642141041

- G. Teyssière and P. Abry.
*Wavelet multifractal analysis of high-frequency financial data*(2010),*10*^{th}Vilnius Conference on Probability Theory and Mathematical Statistics - G. Teyssière.
*Détection de ruptures multiples sur des séries chronologiques univariées et multivariées. Application à des données de prix de l'énergie*(2008). (Rapport de recherche pour EDF). - G. Teyssière.
*Long-range dependence and multiple change-points in multivariate time series*(2007).*Slides*

Invited presentation to the*International Conference on Statistical Models for Financial Data II*, organized by István Berkes and*Lajos Horváth*at the*Institute of Statistics*,*Graz University of Technology*,*Graz*, Austria, 23-26 May 2007. - G. Teyssière.
*Bubbles, non-stationarity and double long memory*(2004).

Invited presentation to the*International Conference on Statistical Models for Financial Data*, organized by István Berkes and*Lajos Horváth*at the*Institute of Statistics*,*Graz University of Technology*,*Graz*, Austria, May 2004. - P. Kokoszka and G. Teyssière.
*Change-point detection in GARCH models: asymptotic and bootstrap tests*,*PostScript*. Presented to the Invited Paper Meeting of the*54*, August 2003.^{th}Session of the International Statistical Institute*Slides*. Under revision. - G. Teyssière.
*Nonlinear and semiparametric long-memory ARCH*(2001).

Part of the material of this paper appeared in L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière*On the power of R/S-Type tests under contiguous and semi long-memory alternatives*,*Acta Applicandae Mathematicae*(2003),*(Special Issue for the 8*vol 78, 285-299.^{th}Vilnius Conference on Probability Theory and Mathematical Statistics)*DOI*. The remainder of this paper has been inserted in others papers. - G. Teyssière.
*Modelling exchange rates volatility with multivariate long-memory ARCH processes*(1997). (Old Version). - G. Teyssière.
*Double long-memory financial time series*(1996),*Preprint*

Presented in the*1997 Econometric Society European Meeting*, the*1997 Society for Economic Dynamics conference*Oxford, the*28*,^{th}Workshop of the Euro Working Group on Financial Modelling*Vilnius*, May 2001,*Slides*In 1996, I pioneered the class of double long memory processes with the ARFIMA-FIGARCH; this was my first paper in time series analysis. My 1998 paper on multivariate (trivariate) ARFIMA-FIGARCH, published in the proceedings of the

*High Frequency Data in Finance-II*conference organized by Olsen & Associates (see above in the list of publications) is available here