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R. Leipus · SciRah

Researcher profile · Semantic Scholar

R. Leipus

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R. Leipus — researcher profile on SciRah

h-index: 25
Works: 111
Citations: 2,837

Most-cited papers

Rescaled variance and related tests for long memory in volatility and levels
L. Giraitis, P. Kokoszka, R. Leipus, Gilles Teyssière
2003335 citations
Semantic Scholar
Change-point estimation in ARCH models
P. Kokoszka, R. Leipus
2000287 citations Open access
Semantic Scholar
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
L. Giraitis, P. Kokoszka, R. Leipus
2000Econometric Theory282 citations
Semantic Scholar
Testing for long memory in the presence of a general trend
L. Giraitis, P. Kokoszka, R. Leipus
2001Journal of Applied Probability107 citations
Semantic Scholar
Recent Advances in ARCH Modelling
L. Giraitis, R. Leipus, D. Surgailis
200794 citations
Semantic Scholar
LARCH, leverage and long memory
L. Giraitis, R. Leipus, P. Robinson, D. Surgailis
200383 citations
Semantic Scholar
Tail behavior of random sums under consistent variation with applications to the compound renewal risk model
A. Aleškevičienė, R. Leipus, J. Šiaulys
200853 citations
Semantic Scholar
A property of the renewal counting process with application to the finite-time ruin probability
Jelena Kočetova, R. Leipus, J. Šiaulys
200947 citations
Semantic Scholar
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
Yang Yang, R. Leipus, J. Šiaulys
201246 citations
Semantic Scholar
Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
R. Leipus, J. Šiaulys
200746 citations
Semantic Scholar
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
L. Giraitis, R. Leipus, A. Philippe
2006Econometric Theory45 citations
Semantic Scholar
Random coefficient autoregression, regime switching and long memory
R. Leipus, D. Surgailis
2003Advances in Applied Probability42 citations
Semantic Scholar
ON STATIONARITY IN THE ARCH([infty infinity]) MODEL
V. Kazakevičius, R. Leipus
200240 citations
Semantic Scholar
Closure of some heavy-tailed distribution classes under random convolution*
R. Leipus, J. Šiaulys
201235 citations
Semantic Scholar
ARCH(∞) Models and Long Memory Properties
L. Giraitis, R. Leipus, D. Surgailis
200935 citations
Semantic Scholar
A new theorem on the existence of invariant distributions with applications to ARCH processes
V. Kazakevičius, R. Leipus
2003Journal of Applied Probability32 citations
Semantic Scholar
Precise large deviation results for the total claim amount under subexponential claim sizes
A. Baltrūnas, R. Leipus, J. Šiaulys
200830 citations
Semantic Scholar
Stability of random coefficient ARCH models and aggregation schemes
V. Kazakevičius, R. Leipus, M. Viano
200430 citations
Semantic Scholar
Long memory and stochastic trend
R. Leipus, M. Viano
200326 citations
Semantic Scholar
Closure Properties for Heavy-Tailed and Related Distributions
R. Leipus, J. Šiaulys, D. Konstantinides
2023SpringerBriefs in Statistics24 citations
Semantic Scholar
Renewal regime switching and stable limit laws
R. Leipus, V. Paulauskas, D. Surgailis
200524 citations
Semantic Scholar
ON STATIONARITY IN THE ARCH(∞) MODEL
V. Kazakevičius, R. Leipus
2002Econometric Theory24 citations
Semantic Scholar
Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
R. Leipus, M. Viano
200024 citations
Semantic Scholar
Asymptotics for randomly weighted and stopped dependent sums
Yang Yang, R. Leipus, J. Šiaulys
201623 citations
Semantic Scholar
Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
Yang Yang, R. Leipus, J. Šiaulys, Yuquan Cang
201123 citations Open access
Semantic Scholar
On the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives
L. Giraitis, P. Kokoszka, R. Leipus, Gilles Teyssière
200222 citations Open access
Semantic Scholar
Orthogonal series density estimation in a disaggregation scheme
R. Leipus, G. Oppenheim, A. Philippe, M. Viano
200621 citations
Semantic Scholar
On the ruin probability in a dependent discrete time risk model with insurance and financial risks
Yang Yang, R. Leipus, J. Šiaulys
2012Journal of Computational and Applied Mathematics19 citations Open access
Semantic Scholar
Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
Yang Yang, Yue-Bao Wang, R. Leipus, Jonas Šiaulys
200919 citations
Semantic Scholar
Aggregation in ARCH Models
R. Leipus, M. Viano
200218 citations
Semantic Scholar
DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
Frédéric Lavancier, R. Leipus, A. Philippe, D. Surgailis
2011Econometric Theory17 citations Open access
Semantic Scholar
Time series aggregation, disaggregation, and long memory
Dmitrij Celov, R. Leipus, A. Philippe
200717 citations Open access
Semantic Scholar
Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run
Saulius Jokubaitis, Dmitrij Celov, R. Leipus
202015 citations Open access
Semantic Scholar
A note on product-convolution for generalized subexponential distributions
D. Konstantinides, R. Leipus, J. Šiaulys
2022Nonlinear Analysis: Modelling and Control14 citations Open access
Semantic Scholar
Precise large deviations for compound random sums in the presence of dependence structures
Yang Yang, R. Leipus, J. Šiaulys
2012Computers and Mathematics with Applications14 citations Open access
Semantic Scholar
AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
L. Giraitis, R. Leipus, D. Surgailis
2009Econometric Theory14 citations
Semantic Scholar
A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
Yang Yang, Kai-Yong Wang, R. Leipus, J. Šiaulys
201313 citations Open access
Semantic Scholar
On a closure property of convolution equivalent class of distributions
R. Leipus, J. Šiaulys
202012 citations Open access
Semantic Scholar
Asymptotic normality of the mixture density estimator in a disaggregation scheme
Dmitrij Celov, R. Leipus, A. Philippe
200811 citations Open access
Semantic Scholar
Tails of higher-order moments with dominatedly varying summands∗
R. Leipus, J. Šiaulys, IevaVareikaitė
2019Lithuanian Mathematical Journal10 citations
Semantic Scholar
On the random max-closure for heavy-tailed random variables
R. Leipus, J. Šiaulys
201710 citations
Semantic Scholar
Weak max-sum equivalence for dependent heavy-tailed random variables
Lina Dindienė, R. Leipus
201610 citations
Semantic Scholar
Aggregation and long memory: recent developments
R. Leipus, A. Philippe, Donata Puplinskaitė, D. Surgailis
201310 citations
Semantic Scholar
On the distribution-tail behaviour of the product of normal random variables
R. Leipus, J. Šiaulys, Mantas Dirma, Romualdas Zovė
2023Journal of Inequalities and Applications9 citations Open access
Semantic Scholar
Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure
R. Leipus, Saulius Paukštys, J. Šiaulys
20219 citations
Semantic Scholar
A note on the tail behavior of randomly weighted and stopped dependent sums
Lina Dindienė, R. Leipus
20159 citations Open access
Semantic Scholar
Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
Yang Yang, R. Leipus, J. Šiaulys
20129 citations
Semantic Scholar
Local precise large deviations for sums of random variables with O-regularly varying densities
Yang Yang, R. Leipus, J. Šiaulys
20109 citations
Semantic Scholar
Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]
L. Giraitis, P. Kokoszka, R. Leipus, Gilles Teyssière
20059 citations
Semantic Scholar
A copula-based bivariate integer-valued autoregressive process with application
Andrius Buteikis, R. Leipus
2019Modern Stochastics: Theory and Applications8 citations Open access
Semantic Scholar

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