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Whittle estimation of ARCH mod...
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1
Adaptive semiparametric estimation of the memory parameter
Giraitis, Liudas
;
Robinson, Peter M.
;
Samarov, Alexander
-
2000
Persistent link: https://www.econbiz.de/10001444259
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2
A model for long memory conditional heteroscedasticity
Giraitis, Liudas
;
Robinson, Peter M.
;
Surgailis, Donatas
-
2000
Persistent link: https://www.econbiz.de/10001490719
Saved in:
3
Variance-type estimation of long memory
Giraitis, Liudas
;
Robinson, Peter M.
;
Surgailis, Donatas
-
1998
Persistent link: https://www.econbiz.de/10000996492
Saved in:
4
Whittle estimation of ARCH models
Giraitis, Liudas
;
Robinson, Peter M.
-
2000
Persistent link: https://www.econbiz.de/10001551057
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5
Parametric estimation under long-range dependence
Giraitis, Liudas
;
Robinson, Peter M.
-
2001
Persistent link: https://www.econbiz.de/10001587921
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6
Edgeworth expansions for semiparametric whittle estimation of long memory
Giraitis, Liudas
;
Robinson, Peter M.
-
2002
Persistent link: https://www.econbiz.de/10001703681
Saved in:
7
LARCH, leverage, and long memory
Giraitis, Liudas
;
Leipus, Remigijus
;
Robinson, Peter M.
; …
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 177-210
Persistent link: https://www.econbiz.de/10002214253
Saved in:
8
Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long range dependence
Giraitis, Liudas
;
Robinson, Peter M.
;
Samarov, Alexander
-
1997
Persistent link: https://www.econbiz.de/10000959150
Saved in:
9
Asymptotic theory for time series with changing mean and variance
Dalla, Violetta
;
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
Saved in:
10
LARCH, leverage and long memory
Giraitis, Liudas
;
Leipus, Remigijus
;
Robinson, Peter M.
; …
-
2003
Persistent link: https://www.econbiz.de/10001818318
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