Liudas Giraitis 个人学术档案

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g kapetaniosProfessor of Finance and Econometrics, Kings College London在 kcl.ac.uk 的电子邮件经过验证
Piotr KokoszkaProfessor of Statistics, Colorado State University在 colostate.edu 的电子邮件经过验证
Walter DistasoImperial College Business School在 imperial.ac.uk 的电子邮件经过验证
Karim Maher AbadirImperial College London在 imperial.ac.uk 的电子邮件经过验证
Anthony YatesBank of England在 bankofengland.co.uk 的电子邮件经过验证
Peter C. B. PhillipsYale University在 yale.edu 的电子邮件经过验证
Violetta DallaAssistant Professor, National and Kapodistrian University of Athens在 econ.uoa.gr 的电子邮件经过验证
Simon PriceUniversity of Essex, Essex Business School在 essex.ac.uk 的电子邮件经过验证
Ana Beatriz GalvaoProfessor of Economic Modelling and Forecasting, University of Warwick在 wbs.ac.uk 的电子邮件经过验证
Katerina PetrovaResearch Economist, Federal Reserve Bank of New York在 upf.edu 的电子邮件经过验证
Yiannis DendramisAssistant Professor, Athens University of Economics and Business在 aueb.gr 的电子邮件经过验证
Filip ZikesEconomist, Federal Reserve Board在 frb.gov 的电子邮件经过验证
anne wetheriltBank of England在 bankofengland.co.uk 的电子邮件经过验证
Massimiliano MarcellinoUniversità Bocconi在 unibocconi.it 的电子邮件经过验证
Tassos MagdalinosProfessor of Econometrics, University of Southampton在 soton.ac.uk 的电子邮件经过验证
Natalia BaileyAssociate Professor, Department of Econometrics and Business Statistics, Monash University在 monash.edu 的电子邮件经过验证
Mohaimen MansurAssociate Professor, University of Dhaka在 isrt.ac.bd 的电子邮件经过验证
Fulvia MarottaUniversity of Oxford在 ouce.ox.ac.uk 的电子邮件经过验证
YUFEI LIKing's College London在 kcl.ac.uk 的电子邮件经过验证

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Liudas Giraitis

Queen Mary University of London

在 qmul.ac.uk 的电子邮件经过验证 - 首页

Econometrics Time Series Statistics Stochastic Processes


标题按引用次数排序按年份排序按标题排序	引用次数引用次数	年份
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	438	1990
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	434	2003
Stationary ARCH models: dependence structure and central limit theorem L Giraitis, P Kokoszka, R Leipus Econometric theory 16 (1), 3-22, 2000	358	2000
Large sample inference for long memory processes L Giraitis, HL Koul, D Surgailis	351	2012
Nonstationarity-extended local Whittle estimation KM Abadir, W Distaso, L Giraitis Journal of econometrics 141 (2), 1353-1384, 2007	274	2007
CLT and other limit theorems for functionals of Gaussian processes L Giraitis, D Surgailis Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 70 (2), 191-212, 1985	238	1985
A Generalized Fractionally Differencing Approach inLong-Memory Modelling L Giraitis, R Leipus	185	1993
Inference on stochastic time-varying coefficient models L Giraitis, G Kapetanios, T Yates Journal of Econometrics 179 (1), 46-65, 2014	173	2014
A model for long memory conditional heteroscedasticity L Giraitis, PM Robinson, D Surgailis Annals of Applied Probability, 1002-1024, 2000	153	2000
Whittle estimation of ARCH models L Giraitis, PM Robinson Econometric Theory 17 (3), 608-631, 2001	151	2001
Uniform limit theory for stationary autoregression L Giraitis, PCB Phillips Journal of time series analysis 27 (1), 51-60, 2006	124	2006
Asymptotic normality of regression estimators with long memory errors L Giraitis, HL Koul, D Surgailis Statistics & Probability Letters 29 (4), 317-335, 1996	119	1996
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	117	2001
Recent advances in ARCH modelling L Giraitis, R Leipus, D Surgailis Long memory in economics, 3-38, 2007	115	2007
ARCH-type bilinear models with double long memory L Giraitis, D Surgailis Stochastic Processes and their Applications 100 (1-2), 275-300, 2002	107	2002
Multivariate Appell polynomials and the central limit theorem L Giraitis, D Surgailis Dependence in Probability and Statistics: A Survey of Recent Results, 21-71, 1986	107	1986
LARCH, leverage, and long memory L Giraitis, R Leipus, PM Robinson, D Surgailis Journal of Financial Econometrics 2 (2), 177-210, 2004	106	2004
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	106	1997
Gaussian estimation of parametric spectral density with unknown pole L Giraitis, J Hidalgo, PM Robinson The Annals of Statistics 29 (4), 987-1023, 2001	104	2001
Whittle estimator for finite-variance non-Gaussian time series with long memory L Giraitis, MS Taqqu The Annals of Statistics 27 (1), 178-203, 1999	96	1999

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