|
 | Up a level |
Dalla, Violetta, Giraitis, Liudas and Robinson, Peter M. (2020) Asymptotic theory for time series with changing mean and variance. Journal of Econometrics, 219 (2). 281 - 313. ISSN 0304-4076
Giraitis, Liudas, Taniguchi, Masanobu and Taqqu, Murad S. (2016) Asymptotic normality of quadratic forms of martingale differences. Statistical Inference for Stochastic Processes. ISSN 1387-0874
Giraitis, Liudas and Koul, Hira L. (2013) On asymptotic distributions of weighted sums of periodograms. Bernoulli, 19 (5B). pp. 2389-2413. ISSN 1350-7265
Dalla, Violetta, Giraitis, Liudas and Hidalgo, Javier (2006) Consistent estimation of the memory parameter for nonlinear time series. Journal of Time Series Analysis, 27 (2). pp. 211-251. ISSN 0143-9782
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2004) LARCH, leverage, and long memory. Journal of Financial Econometrics, 2 (2). pp. 177-210. ISSN 1479-8409
Giraitis, Liudas and Robinson, Peter M. (2001) Whittle estimation of ARCH models. Econometric Theory, 17 (3). 608 - 631. ISSN 1469-4360
Giraitis, Liudas and Taqqu, Murad S. (2001) Functional non-central and central limit theorems for bivariate Appell polynomials. Journal of Theoretical Probability, 14 (2). pp. 393-426. ISSN 0894-9840
Giraitis, Liudas, Kokoszka, Piotr and Leipus, Remigijus (2001) Testing for long memory in the presence of a general trend. Journal of Applied Probability, 38 (4). pp. 1033-1054. ISSN 0021-9002
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (2000) Adaptive semiparametric estimation of the memory parameter. Journal of Multivariate Analysis, 72 (2). pp. 183-207. ISSN 0047-259X
Giraitis, Liudas, Kokoszka, Piotr and Leipus, Remigijus (2000) Stationary ARCH models: dependence structure and central limit theorem. Econometric Theory, 16 (1). pp. 3-22. ISSN 0266-4666
Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus and Teyssière, Gilles (2000) Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. Statistical Inference for Stochastic Processes, 3 (1-2). pp. 113-128. ISSN 1387-0874
Giraitis, Liudas, Robinson, Peter M. and Surgailis, Donatas (2000) A model for long memory conditional heteroscedasticity. Annals of Applied Probability, 10 (3). pp. 1002-1024. ISSN 1050-5164
Giraitis, Liudas and Surgailis, Donatas (1999) Central limit theorem for the empirical process. Journal of Statistical Planning and Inference, 80 (1-2). pp. 81-93. ISSN 0378-3758
Giraitis, Liudas and Taqqu, Murad S. (1999) Convergence of normalized quadratic forms. Journal of Statistical Planning and Inference, 80 (1-2). pp. 15-35. ISSN 0378-3758
Giraitis, Liudas, Robinson, Peter and Surgailis D, (1999) Variance-type estimation of long memory. Stochastic Processes and Their Applications, 80 (1). pp. 1-24. ISSN 0304-4149
Giraitis, Liudas and Taqqu, M. S. (1999) Whittle estimator for finite-variance non-Gaussian time series with long memory. Annals of Statistics, 27 (1). pp. 178-203. ISSN 0090-5364
Robinson, Peter M. and Giraitis, Liudas (2003) Parametric estimation under long range dependence. In: Doukhan, Paul, Oppenheim, George and Taqqu, Murad, (eds.) Theory and Applications of Long Range Dependence. Birkhäuser (Firm), Basel, pp. 229-250. ISBN 9780817641689
Dalla, Violetta, Giraitis, Liudas and Hidalgo, Javier (2006) Consistent estimation of the memory parameter for nonlinear time series. EM (497). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2003) LARCH, leverage and long memory. Econometrics; EM/2003/460 (EM/03/460). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter (2002) Edgeworth expansions for semiparametric Whittle estimation of long memory. Econometrics; EM/2002/438 (EM/02/438). Suntory and Toyota International Centres for Economics and Related Disciplines, London.
Giraitis, Liudas, Hidalgo, Javier and Robinson, Peter (2001) Gaussian estimation of parametric spectral density with unknown pole. Econometrics; EM/2001/424 (EM/01/424). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (2001) Parametric estimation under long-range dependence. Econometrics; EM/2001/416 (EM/01/416). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (2000) Whittle estimation of ARCH models. Econometrics; EM/2000/406 (EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines, London.
Giraitis, Liudas, Robinson, Peter and Surgailis, Donatas (2000) A model for long memory conditional heteroscedasticity. Econometrics; EM/2000/382 (EM/00/382). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (2000) Adaptive semiparametric estimation of the memory parameter. Econometrics; EM/2000/379 (EM/00/379). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (1998) Variance-type estimation of long memory. Econometrics; EM/1998/363 (EM/98/363). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (1997) Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. Econometrics; EM/1997/323 (EM/1997/323). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
