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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719
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Variance-type estimation of long memory
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 1998
Persistent link: https://www.econbiz.de/10000996492
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ARCH (∞) models and long memory properties
Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Handbook of financial time series, (pp. 71-84). 2009
Persistent link: https://www.econbiz.de/10003833780
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Stationary integrated Arch(∞) and Ar(∞) processes with finite variance
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - In: Econometric theory 34 (2018) 6, pp. 1159-1179
Persistent link: https://www.econbiz.de/10012038038
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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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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - 2000
Persistent link: https://www.econbiz.de/10001551057
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Parametric estimation under long-range dependence
Giraitis, Liudas; Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001587921
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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 608-631
Persistent link: https://www.econbiz.de/10001589340
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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
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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