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Publications:  Prof Liudas Giraitis

Dalla V, Giraitis L, Robinson PM(2020). Asymptotic theory for time series with changing mean and variance. Journal of Econometrics
10.1016/j.jeconom.2020.03.005
https://qmro.qmul.ac.uk/xmlui/handle/123456789/60672
Giraitis L, Surgailis D, Škarnulis A(2018). STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE. Econometric Theory vol. 34, (06) 1159-1179.
Giraitis L, Surgailis D, Škarnulis A(2018). Stationary Integrated Arch(∞) and Ar(∞) Processes with Finite Variance. Econometric Theory vol. 34, (6) 1159-1179.
10.1017/S0266466617000391
https://qmro.qmul.ac.uk/xmlui/handle/123456789/28326
GIRAITIS L(2018). Estimation pitfalls when the noise is not i.i.d. Japanese Journal of Statistics and Data Science vol. 1, (1) 59`-80.
10.1007/s42081-018-0004-8
https://qmro.qmul.ac.uk/xmlui/handle/123456789/39627
Giraitis L, Kapetanios G, Yates T(2018). Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models. Journal of Time Series Analysis vol. 39, (2) 129-149.
10.1111/jtsa.12271
https://qmro.qmul.ac.uk/xmlui/handle/123456789/29584
Galvão AB, Giraitis L, Kapetanios G, Petrova K(2016). A time varying DSGE model with financial frictions. Journal of Empirical Finance vol. 38, (Part B) 690-716.
10.1016/j.jempfin.2016.02.012
Bailey N, Giraitis L(2016). Spectral approach to parameter-free unit root testing. Computational Statistics & Data Analysis vol. 100, Article C, 4-16.
10.1016/j.csda.2015.05.002
Giraitis L, Taniguchi M, Taqqu MS(2016). Asymptotic normality of quadratic forms of martingale differences. Statistical Inference for Stochastic Processes: an international journal devoted to time series analysis and the statistics of continuous time processes and dynamical systems
10.1007/s11203-016-9143-3
https://qmro.qmul.ac.uk/xmlui/handle/123456789/15369
Galvão AB, Giraitis L, Kapetanios G, Petrova K(2016). A time varying DSGE model with financial frictions. vol. 38, (PB) 690-716.
https://qmro.qmul.ac.uk/xmlui/handle/123456789/12188
Giraitis L, Kapetanios G, Wetherilt A, Žikeš F(2016). Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market. Journal of Applied Econometrics vol. 31, (1) 58-84.
10.1002/jae.2457
https://qmro.qmul.ac.uk/xmlui/handle/123456789/7580
Ana BGAO, Giraitis L, Kapetanios G, Petrova K (2015). A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Kapetanios G, Theodoridis K, Yates T (2015). Estimating Time-Varying DSGE Models Using Minimum Distance Methods. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Kapetanios G, Yates T (2015). Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Surgailis D, karnulis AS (2015). Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Dalla V, Giraitis L, Phillips PCB (2015). Testing Mean Stability of Heteroskedastic Time Series. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Bailey N, Giraitis L (2015). Spectral Approach to Parameter-Free Unit Root Testing. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Kapetanios G, Mansur M, Price S(2015). Forecasting under structural change. Advanced Studies in Theoretical and Applied Econometrics, vol. 48,
Giraitis L, Kapetanios G, Theodoridis K, Yates T (2014). Estimating time-varying DSGE models using minimum distance methods. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Kapetanios G, Price S (2014). Adaptive forecasting in the presence of recent and ongoing structural change. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Dalla V, Giraitis L, Koul HL(2014). Studentizing weighted sums of linear processes. Journal of Time Series Analysis vol. 35, (2) 151-172.
10.1111/jtsa.12056
Abadir KM, Distaso W, Giraitis L, Koul HL(2014). ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES. Econometric Theory vol. 30, (01) 252-284.
Abadir KM, Distaso W, Giraitis L, Koul HL(2014). Asymptotic normality for weighted sums of linear processes. Econometric Theory vol. 30, (1) 252-284.
10.1017/S0266466613000182
Giraitis L, Kapetanios G, Yates T(2014). Inference on stochastic time-varying coefficient models. Journal of Econometrics vol. 179, (1) 46-65.
10.1016/j.jeconom.2013.10.009
Dalla V, Giraitis L, Koul HL(2014). Studentizing weighted sums of linear processes. Journal of Time Series Analysis
10.1111/jtsa.12056
https://qmro.qmul.ac.uk/xmlui/handle/123456789/25532
Giraitis L, Koul HL(2013). On asymptotic distributions of weighted sums of periodograms. Bernoulli vol. 19, (5 B) 2389-2413.
10.3150/12-BEJ456
Bailey N, Giraitis L(2013). Weak convergence in the near unit root setting. STATISTICS & PROBABILITY LETTERS vol. 83, (5) 1411-1415.
10.1016/j.spl.2013.01.029
Giraitis L, Kapetanios G, Price S(2013). Adaptive forecasting in the presence of recent and ongoing structural change. Journal of Econometrics
10.1016/j.jeconom.2013.04.003
Giraitis L, Phillips PCB(2012). Mean and autocovariance function estimation near the boundary of stationarity. Journal of Econometrics vol. 169, (2) 166-178.
10.1016/j.jeconom.2012.01.020
Giraitis L, Kapetanios G, Price S (2012). Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Koul HL, Surgailis D(2012). Large sample inference for long memory processes.
Giraitis L, Phillips PCB(2012). Mean and autocovariance function estimation near the boundary of stationarity. vol. 169, (2) 166-178.
Abadir KM, Distaso W, Giraitis L(2011). An I(d) model with trend and cycles. Journal of Econometrics vol. 163, (2) 186-199.
10.1016/j.jeconom.2011.03.006
Abadir KM, Distaso W, Giraitis L (2011). An I() model with trend and cycles. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Abadir KM, Distaso W, Giraitis L (2011). An I(d) Model with Trend and Cycles. Social Science Electronic Publishing, Inc. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable , Notes: Also published in J ECONOMETRICS 163(2):186-199 Aug 2011,
Publisher URL
Phillips PCB, Magdalinos T, Giraitis L(2010). Smoothing local-to-moderate unit root theory. J ECONOMETRICS vol. 158, (2) 274-279.
10.1016/j.jeconom.2010.01.009
Giraitis L, Leipus R, Surgailis D(2010). AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS. ECONOMET THEOR vol. 26, (2) 406-425.
10.1017/S026646660910004X
Abadir KM, Distaso W, Giraitis L(2009). Two estimators of the long-run variance: Beyond short memory. J ECONOMETRICS vol. 150, (1) 56-70.
10.1016/j.jeconom.2009.02.010
Abadir K, Distaso W, Giraitis L (2009). Two estimators of the long-run variance. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1984844 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
GIRAITIS L, Distaso W, Abadira KM(2007). Nonstationarity-extended local Whittle estimation. Journal of Econometrics vol. 141, (2) 1353-1384.
10.1016/j.jeconom.2007.01.020
Abadir KM, Distaso W, Giraltis L(2007). Nonstationarity-extended local Whittle estimation. J ECONOMETRICS vol. 141, (2) 1353-1384.
10.1016/j.jeconom.2007.01.020
Giraitis L, Leipus R, Surgailis D(2007). Recent advances in ARCH modelling. 3-38.
10.1007/978-3-540-34625-8_1
Novak SY, Dalla V, Giraitis L(2007). Evaluating currency risk in emerging markets. ACTA APPL MATH vol. 97, (1-3) 163-175.
10.1007/s10440-007-9128-8
Bhansali RJ, Giraitis L, Kokoszka PS(2007). Convergence of quadratic forms with nonvanishing diagonal. STAT PROBABIL LETT vol. 77, (7) 726-734.
10.1016/j.spl.2006.11.007
Bhansali RJ, Giraitis L, Kokoszka PS(2007). Approximations and limit theory for quadratic forms of linear processes. STOCH PROC APPL vol. 117, (1) 71-95.
10.1016/j.spa.2006.05.015
Abadir K, Distaso W, Giraitis L (2007). Semiparametric estimation and inference for trending I(d) and related processes. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1985168 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Leipus R, Philippe A(2006). A test for stationarity versus trends and unit roots for a wide class of dependent errors. ECONOMET THEOR vol. 22, (6) 989-1029.
10.1017/S026646660606049X
Giraitis L, Phillips PCB(2006). Erratum: Uniform limit theory for stationary autoregression (Journal of Times Series Analysis (2006) 27, (51-60)). Journal of Time Series Analysis vol. 27, (6)
10.1111/j.1467-9892.2006.00512.x
Bhansali RJ, Giraitis L, Kokoszka PS(2006). Estimation of the memory parameter by fitting fractionally differenced autoregressive models. J MULTIVARIATE ANAL vol. 97, (10) 2101-2130.
10.1016/j.jmva.2006.01.003
Giraitis L, Phillips PCB(2006). Uniform limit theory for stationary autoregression (vol 27, pg 51, 2006). J TIME SER ANAL vol. 27, (6)
Dalla V, Giraitis L, Hidalgo J(2006). Consistent estimation of the memory parameter for nonlinear time series. J TIME SER ANAL vol. 27, (2) 211-251.
10.1111/j.1467-9892.2005.00464.x
Giraitis L, Leipus R, Philippe A(2006). A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS. Econometric Theory vol. 22, (06) 989-1029.
10.1017/S026646660606049X
Giraitis L, Phillips PCB(2006). Uniform Limit Theory for Stationary Autoregression. Journal of Time Series Analysis vol. 27, (1) 51-60.
Giraitis L, Phillips PCB(2006). Uniform limit theory for stationary autoregression. J TIME SER ANAL vol. 27, (1) 51-60.
10.1111/j.1467-9892.2005.00452.x
Giraitis L, Kokoszka P, Leipus R, Teyssiere G(2005). Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]. vol. 126, (2) 571-572.
Giraitis L, Kokoszka P, Leipus R, Teyssière G(2005). Erratum: Corrigendum to "rescaled variance and related tests for long memory in volatility and levels"(Journal of Econometrics (2003) 112 (265-294)). Journal of Econometrics vol. 126, (2) 571-572.
10.1016/j.jeconom.2004.08.001
Giraitis L, Kokoszka P, Leipus R, Teyssiere G(2005). Rescaled variance and related tests for long memory in volatility and levels (vol 112, pg 265, 2003). J ECONOMETRICS vol. 126, (2) 571-572.
10.1016/j.jeconom.2004.08.001
Giraitis L, Leipus R, Robinson PM, Surgailis D (2004). LARCH, Leverage and Long Memory. IDEAS Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable , Notes: Also published in Journal of Financial Econometrics, 2004, vol. 2, issue 2, pages 177-210,
Publisher URL
Giraitis L(2004). LARCH, Leverage, and Long Memory. Journal of Financial Econometrics vol. 2, (2) 177-210.
Giraitis L, Leipus R, Robinson PM, Surgailis D (2004). LARCH, leverage, and long memory.
Giraitis L, Leipus R, Robinson PM, Surgailis D (2004). LARCH, leverage, and long memory. EconPapers
Publisher URL
Giraitis L, Robinson PM(2003). Edgeworth expansions for semiparametric Whittle estimation of long memory. ANN STAT vol. 31, (4) 1325-1375.
10.1214/aos/1059655915
Giraitis L, Kokoszka P, Leipus R, Teyssiere G (2003). On the power of R/S-type tests under contiguous and semi-long memory alternatives. ACTA APPLICANDAE MATHEMATICAE. vol. 78, 285-299.
10.1023/A:1025702003631
Giraitis L, Kokoszka P, Leipus R, Teyssiere G(2003). Rescaled variance and related tests for long memory in volatility and levels. J ECONOMETRICS vol. 112, (2) 265-294.
10.1016/S0304-4076(02)00197-5
Giraitis L, Robinson PM (2003). Edgeworth expansions for semiparametric Whittle estimation of long memory. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Robinson PM (2003). Edgeworth expansions for semiparametric Whittle estimation of long memory. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
GIRAITIS L, KOKOSZKA P, LEIPUS R, TEYSSIÈRE G (2003). On the power of R/S-type tests under contiguous and semi-long memory alternatives. Notes: In : Acta Applicandae Mathematicae,78, 285-299, 2003,
GIRAITIS L, KOKOSZKA P, LEIPUS R, TEYSSIÈRE G (2003). Rescaled variance and related tests for long memory in volatility and levels. Notes: In : Journal of Econometrics, 112, 265-294, 2003,
Giraitis L, Surgailis D(2002). ARCH-type bilinear models with double long memory. STOCH PROC APPL vol. 100, 275-300.
10.1016/S0304-4149(02)00108-4
Giraitis L, Kokoszka P, Leipus R(2001). Testing for long memory in the presence of a general trend. J APPL PROBAB vol. 38, (4) 1033-1054.
10.1239/jap/1011994190
Giraitis L, Hidalgo J, Robinson PM(2001). Gaussian estimation of parametric spectral density with unknown pole. ANN STAT vol. 29, (4) 987-1023.
10.1214/aos/1013699989
Giraitis L, Hidalgo J, Robinson PM (2001). Gaussian estimation of parametric spectral density with unknown pole. Social Science Electronic Publishing Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable , Notes: Also published by The Annals of Statistics Vol. 29, No. 4, Aug., 2001,
Publisher URL
Giraitis L, Robinson PM(2001). Whittle estimation of arch models. ECONOMET THEOR vol. 17, (3) 608-631.
10.1017/S0266466601173056
Giraitis L, Robinson PM (2001). Parametric Estimation under Long-Range Dependence. http://ideas.repec.org/p/cep/stiecm/-2001-416.html Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Giraitis L, Taqqu MS(2001). Functional non-central and central limit theorems for bivariate Appell polynomials. J THEOR PROBAB vol. 14, (2) 393-426.
10.1023/A:1011111730227
Giraitis L, Robinson PM, Surgailis D(2000). A model for long memory conditional heteroscedasticity. ANN APPL PROBAB vol. 10, (3) 1002-1024.
Giraitis L, Surgailis D (2000). A Model for Long Memory Conditional Heteroscedasticity -. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1162576 Notes: (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.),
Giraitis L, Robinson PM, Samarov A(2000). Adaptive Semiparametric Estimation of the Memory Parameter. vol. 72, (2) 183-207.
Giraitis L, Kokoszka P, Leipus R(2000). STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM. Econometric Theory vol. 16, (01) 3-22.
Giraitis L, Kokoszka P, Leipus R, Teyssière G(2000). Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity. Statistical Inference for Stochastic Processes vol. 3, (1) 113-128.
Giraitis L, Robinson PM, Surgailis D(1999). Variance-type estimation of long memory. vol. 80, (1) 1-24.
Giraitis L, Kokoszka P, Leipus R, Teyssiere G(1999). Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity.
Giraitis L, Robinson PM(1999). Variance-Type Estimation of Long Memory. Stochastic Processes and their Applications1-24.
Giraitis L, Koul H(1997). Estimation of the dependence parameter in linear regression with long-range-dependent errors. vol. 71, (2) 207-224.
Giraitis L, Robinson PM, Samarov A (1997). Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Series with Long-Range Dependence. STICERD - Econometrics Paper Series Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable , Notes: (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.),
Publisher URL
Giraitis L, Koul HL, Surgailis D(1996). Asymptotic normality of regression estimators with long memory errors. vol. 29, (4) 317-335.
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