Remigijus Leipus was born in Vilnius, Lithuania in 1961.
From 1979 to 1984 – studies in the Department of Mathematics, Vilnius University.
From 1984 – senior assistant at the Mathematical Statistics Section of the Department of Mathematics, Vilnius University.
In 1990 defended thesis "Functional limit theorems in the aposteriori change-point problems" (supervisor Prof. B.Grigelionis).
From October 1993 until August 1994 – Fulbright scholar at the Department of Finance of Virginia Polytechnic Institute and State University, USA. Research subject - financial mathematics.
From May 1995 – Senior researcher at the Applied Statistics Department of the Institute of Mathematics and Informatics.
From 2000 – Senior researcher at the Mathematicl Statistics Department of the Institute of Mathematics and Informatics.
The main scientific interest:
- change-point problem for dependent observations,
- long-memory time series,
- financial mathematics,
- finansical econometrics.
The main results are in:
- Leipus R. A squared binomial tree approach to discrete-time
bond market modelling. In: Probability Theory and Math. Statist.
Proceedings of the Seventh Vilnius Conference (1998).
Eds. B.Grigelionis et al. TEV. Vilnius - VSP. Utrecht. 1999. 429--440.
- Leipus R., Rackauskas A. Security price modelling by binomial
tree. Applicationes Mathematica. 1999. 26. 253--266.
- Kokoszka P. and Leipus R. Testing for parameter changes in
ARCH models. Lietuvos Matematikos Rinkinys (Lithuanian Mathematical
Journal). 1999. 39. 231--247.
- Giraitis L., Kokoszka P. and Leipus R. Stationary ARCH models:
dependence structure and Central Limit Theorem. Econometric Theory. 2000.
16. (forthcoming).
- Kokoszka P., Leipus R. Change-point estimation in ARCH models.
Bernoulli. 2000. 6. (forthcoming)
- Kokoszka P., Leipus R. Change-point in the mean of dependent observations.
Statistics and Probability Letters. 1998. 40. 385--393.
- Leipus R., Viano M.C. Modelling long-memory time series with
finite or infinite variance: a general approach. Journal of
Times Series Analysis. 2000. 21. (forthcoming).
- Rich D., Leipus R. An option-based approach to analyzing financial
contracts with multiple indenture provisions.
Advances in Futures and Options Research. 1997. 9. 1-36.
- Giraitis L., Leipus R. and Surgailis D. The change-point problem for
dependent observations. J. Statist. Plan. Inf. 1996. 53. 297-310.
- Leipus R. A posteriori and sequential methods of change-point detection in
FARIMA-type time series. In: Probability Theory and Math. Statist. Proceed.
of the Sixth Vilnius Conference (1993). Eds. B.Grigelionis et al. TEV.
Vilnius - VSP. Utrecht. 1994. 485-496.
- Giraitis L., Leipus R. A generalized fractionally differencing approach
in long-memory modelling. Lietuvos Matem. Rink. 1995. 35. 65-81.
- Giraitis L., Leipus R. Testing and estimating in the change-point
problem of the spectral function.
Lietuvos Matematikos Rinkinys. 1992. 32. 20-38.
- Giraitis L., Leipus R. Functional CLT for nonparametric estimates of
spectra and the change-point problem of spectral function.
Lietuvos Matematikos Rinkinys. 1990. 30. 674-697.
Textbooks:
- R. Leipus "Introduction to Time Series Theory". 1995. Vilnius University.
- R. Leipus "Financial Markets: Discrete Time Stochastic Models". 1999.
Vilnius University.
Visits to:
- Helsinki University, January 9-16, 1995;
- Zürich ETH University, November 5-29, 1995;
- Lille University, France, January 5-31, 1996; September 1-30, 1999;
- University of Liverpool, September 30, 1997 - January 30, 1998; September 2, 1998 - January 29, 1999.
Contact information:
Phone: +(370 5) 23 36 016
Fax.: +(370 5) 21 51 585
E-mail: remigijus.leipus@maf.vu.lt
Communication in Lithuanian, Russian, English is possible.
Last updated on October 15, 2002