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Donatas Surgailis

Donatas Surgailis

D-Index & Metrics

Mathematics

D-Index
38
Citations
4806
World Ranking
2387
National Ranking
1

Overview

Donatas Surgailis is affiliated with Vilnius University in Lithuania and contributes to research primarily in the fields of Mathematics and Economics, Econometrics and Finance. Their work intersects multiple subfields including Finance, Mathematical Physics, Management Science and Operations Research, Global and Planetary Change, and Economics and Econometrics.

Their research topics cover a variety of areas such as stochastic processes and statistical mechanics, financial risk and volatility modeling, probability and risk models, stochastic processes in financial applications, hydrology and drought analysis, geometry and complex manifolds, as well as spatial and panel data analysis.

Among Surgailis's recent papers are:

  • Estimating Long Memory in Panel Random-Coefficient AR(1) Data, 2020, Journal of Time Series Analysis
  • Scaling transition and edge effects for negatively dependent linear random fields on ℤ², 2020, Stochastic Processes and their Applications
  • Local scaling limits of Lévy driven fractional random fields, 2021, arXiv (Cornell University)
  • Fractional Operators and Fractionally Integrated Random Fields on Zν, 2024, Fractal and Fractional
  • Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance, 2020, Advances in Applied Probability

Surgailis has frequent coauthors which include Vytautė Pilipauskaitė, Remigijus Leipus, Anne Philippe, Viktor Skorniakov, and Jan Beran.

Publications by Surgailis commonly appear in venues such as arXiv (Cornell University), Stochastic Processes and their Applications, Preprints.org, Journal of Time Series Analysis, and Fractal and Fractional.

Their book publication record includes the title "Anisotropic Scaling of Random Fields with Long-Range Dependence" published by World Scientific in 2021.

Best Publications

  • A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

    L. Giraitis;D. Surgailis

  • Large Sample Inference for Long Memory Processes

    Liudas Giraitis;Hira L. Koul;Donatas Surgailis

  • CLT and other limit theorems for functionals of Gaussian processes

    L. Giraitis;D. Surgailis

  • Asymptotic Expansion of the Empirical Process of Long Memory Moving Averages

    Hira L. Koul;Donatas Surgailis

  • Zones of attraction of self-similar multiple integrals

    D. Surgailis

  • A model for long memory conditional heteroscedasticity

    Liudas Giraitis;Peter M. Robinson;Donatas Surgailis

  • Stratified structure of the Universe and Burgers' equation : a probabilistic approach

    Sergio Albeverio;Stanislav A. Molchanov;Donatas Surgailis

  • Asymptotic normality of regression estimators with long memory errors

    Liudas Giraitis;Hira L Koul;Donatas Surgailis

  • Recent Advances in ARCH Modelling

    Liudas Giraitis;Remigijus Leipus;Donatas Surgailis

  • Multivariate Appell polynomials and the central limit theorem

    L. Giraitis;D. Surgailis

  • LARCH, Leverage, and Long Memory

    Liudas Giraitis;Remigijus Leipus;Peter M. Robinson;Donatas Surgailis

  • ARCH-type bilinear models with double long memory

    Liudas Giraitis;Donatas Surgailis

  • Hyperbolic asymptotics in Burgers' turbulence and extremal processes

    S. A. Molchanov;D. Surgailis;W. A. Woyczynski

  • Central limit theorem for the empirical process of a linear sequence with long memory

    Liudas Giraitis;Liudas Giraitis;Donatas Surgailis

  • The change-point problem for dependent observations

    Liudas Giraitis;Remigijus Leipus;Donatas Surgailis

  • Stable mixed moving averages

    Donatas Surgailis;Jan Rosinski;V. Mandrekar;Stamatis Cambanis

  • Asymptotic expansion of M-estimators with long-memory errors

    Hira L. Koul;Donatas Surgailis

  • Interpolation, correlation identities, and inequalities for infinitely divisible variables

    Christian Houdré;Victor Pérez-Abreu;Donatas Surgailis

  • Asymptotics of M-estimators in two-phase linear regression models

    Hira L. Koul;Lianfen Qian;Donatas Surgailis

  • Asymptotics of empirical processes of long memory moving averages with infinite variance

    Hira L. Koul;Donatas Surgailis

  • Covariance function of vector self-similar processes☆

    Frédéric Lavancier;Anne Philippe;Donatas Surgailis

  • A MODEL FOR LONG MEMORY CONDITIONAL HETEROSCEDASTICITY by

    Liudas Giraitis;Peter Robinson;Donatas Surgailis

Frequent Co-Authors

Liudas Giraitis
Liudas Giraitis Queen Mary University of London
Hira L. Koul
Hira L. Koul Michigan State University
Peter M. Robinson
Peter M. Robinson London School of Economics and Political Science
Stanislav Molchanov
Stanislav Molchanov University of North Carolina at Charlotte
Richard T. Baillie
Richard T. Baillie King's College London
Sergio Albeverio
Sergio Albeverio University of Bonn

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