Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Quasi-maximum likelihood estimation of heteroskedastic fractional time series models

Cavaliere, Giuseppe, (2014)

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Cavaliere, Giuseppe, (2017)

Adaptive inference in heteroskedastic fractional time series models

Cavaliere, Giuseppe, (2020)