Liudas Giraitis
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Rescaled variance and related tests for long memory in volatility and levels
L Giraitis, P Kokoszka, R Leipus, G Teyssière
Journal of econometrics 112 (2), 265-294, 2003
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
Probability theory and related fields 86 (1), 87-104, 1990
Stationary ARCH models: dependence structure and central limit theorem
L Giraitis, P Kokoszka, R Leipus
Econometric theory, 3-22, 2000
Large sample inference for long memory processes
D Surgailis, HL Koul, L Giraitis
World Scientific Publishing Company, 2012
Nonstationarity-extended local Whittle estimation
KM Abadir, W Distaso, L Giraitis
Journal of econometrics 141 (2), 1353-1384, 2007
CLT and other limit theorems for functionals of Gaussian processes
L Giraitis, D Surgailis
Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 70 (2), 191, 1985
A generalized fractionally differencing approach in long-memory modeling
L Giraitis, R Leipus
Lithuanian Mathematical Journal 35 (1), 53-65, 1995
Whittle estimation of ARCH models
L Giraitis, PM Robinson
Econometric Theory, 608-631, 2001
A model for long memory conditional heteroscedasticity
L Giraitis, PM Robinson, D Surgailis
Annals of Applied Probability, 1002-1024, 2000
Testing for long memory in the presence of a general trend
L Giraitis, P Kokoszka, R Leipus
Journal of Applied Probability 38 (4), 1033-1054, 2001
Asymptotic normality of regression estimators with long memory errors
L Giraitis, HL Koul, D Surgailis
Statistics & Probability Letters 29 (4), 317-335, 1996
Recent advances in ARCH modelling
L Giraitis, R Leipus, D Surgailis
Long memory in economics, 3-38, 2007
Uniform limit theory for stationary autoregression
L Giraitis, PCB Phillips
Journal of time series analysis 27 (1), 51-60, 2006
ARCH-type bilinear models with double long memory
L Giraitis, D Surgailis
Stochastic Processes and their Applications 100 (1-2), 275-300, 2002
Inference on stochastic time-varying coefficient models
L Giraitis, G Kapetanios, T Yates
Journal of Econometrics 179 (1), 46-65, 2014
Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long‐range dependence
L Giraitis, PM Robinson, A Samarov
Journal of Time Series Analysis 18 (1), 49-60, 1997
Multivariate Appell polynomials and the central limit theorem
L Giraitis, D Surgailis
Dependence in probability and statistics, 21-71, 1986
LARCH, leverage, and long memory
L Giraitis, R Leipus, PM Robinson, D Surgailis
Journal of Financial Econometrics 2 (2), 177-210, 2004
Gaussian estimation of parametric spectral density with unknown pole
L Giraitis, J Hidalgo, PM Robinson
The Annals of Statistics 29 (4), 987-1023, 2001
The change-point problem for dependent observations
L Giraitis, R Leipus, D Surgailis
Journal of Statistical Planning and Inference 53 (3), 297-310, 1996
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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