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Weak convergence of multivariate fractional processes
Marinucci, Domenico; Robinson, Peter M. - 1998
Persistent link: https://www.econbiz.de/10000991072
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Alternative forms of fractional Brownian motion
Marinucci, Domenico; Robinson, Peter M. - 1998
Persistent link: https://www.econbiz.de/10000991075
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The averaged periodogram for nonstationary vector time series
Robinson, Peter M.; Marinucci, Domenico - 2000
Persistent link: https://www.econbiz.de/10001544328
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The memory of stochastic volatility models
Robinson, Peter M. - In: Journal of econometrics 101 (2001) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10001554894
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The memory of stochastic volatility models
Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001555758
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Gaussian estimation of parametric spectral density with unknown pole
Giraitis, L.; Hidalgo, Javier; Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001605676
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Edgeworth expansions for spectral density estimates and studentized sample mean
Velasco, Carlos; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 497-539
Persistent link: https://www.econbiz.de/10001589011
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Edgeworth expansions for semiparametric whittle estimation of long memory
Giraitis, Liudas; Robinson, Peter M. - 2002
Persistent link: https://www.econbiz.de/10001703681
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Inference on nonstationary time series with moving mean
Gao, Jiti; Robinson, Peter M. - 2013
Persistent link: https://www.econbiz.de/10009789503
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On discrete sampling of time-varying continuous-time system
Robinson, Peter M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003492507