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A test for stationarity versus trends and unit roots for a wide class of dependent errors

Giraitis, Liudas; Leipus, Remigijus; Philippe, Anne - In: Econometric theory 22 (2006) 6, pp. 989-1029

Persistent link: https://www.econbiz.de/10003396931

Detection of nonconstant long memory parameter

Lavancier, Frédéric; Leipus, Remigijus; Philippe, Anne; … - In: Econometric theory 29 (2013) 5, pp. 1009-1056

Persistent link: https://www.econbiz.de/10010248314

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

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

LARCH, leverage and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003

Persistent link: https://www.econbiz.de/10001818318

Detection and estimation of changes in ARCH processes

Kokoszka, Piotr; Leipus, Remigijus - In: Measuring risk in complex stochastic systems, (pp. 149-160). 2000

Persistent link: https://www.econbiz.de/10001579730

Adaptive semiparametric estimation of the memory parameter

Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander - 2000

Persistent link: https://www.econbiz.de/10001444259

A model for long memory conditional heteroscedasticity

Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000

Persistent link: https://www.econbiz.de/10001490719

Parametric estimation under long-range dependence

Giraitis, Liudas; Robinson, Peter M. - 2001

Persistent link: https://www.econbiz.de/10001587921

Semiparametric Estimation and Inference for Trending I(D) and Related Processes

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - 2012

This paper deals with estimation and hypothesis testing in models allowing for trending processes that are possibly nonstationary, nonlinear, and non-Gaussian. Using semi-parametric estimators, we obtain asymptotic confidence intervals for the trend and memory parameters, and we develop joint...

Persistent link: https://www.econbiz.de/10014174127