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  1. Queen Mary University of London
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Publications: Prof Liudas Giraitis

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Giraitis L, Li Y, Phillips PCB ( 2024 ) . Robust inference on correlation under general heterogeneity . Journal of Econometrics vol. 240 , ( 1 )
Giraitis L, Marotta F ( 2023 ) . Estimation on unevenly spaced time series . Journal of Time Series Analysis vol. 44 , ( 5-6 ) 556 - 577 .
Chronopoulos I, Giraitis L, Kapetanios G ( 2022 ) . Choosing between persistent and stationary volatility . The Annals of Statistics vol. 50 , ( 6 )
Giraitis L ( 2022 ) . Time-Varying Instrumental Variable Estimation . Journal of Econometrics
Abadir KM, Distaso W, Giraitis L ( 2021 ) . Partially one-sided semiparametric inference for trending persistent and antipersistent processes . Econometrics and Statistics
Dendramis Y, Giraitis L, Kapetanios G ( 2021 ) . ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS . Econometric Theory vol. 37 , ( 6 ) 1100 - 1134 .
Giraitis L ( 2021 ) . Estimation of time-varying covariance matrices for large datasets . Econometric Theory
Dalla V, Giraitis L, Robinson PM ( 2020 ) . Asymptotic theory for time series with changing mean and variance . Journal of Econometrics vol. 219 , ( 2 ) 281 - 313 .
Dalla V, Giraitis L, Phillips PCB ( 2020 ) . ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION . Econometric Theory vol. 38 , ( 5 ) 913 - 941 .
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 .
Giraitis L, Kapetanios G, Yates T ( 2017 ) . Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models . Journal of Time Series Analysis vol. 39 , ( 2 ) 129 - 149 .
Giraitis L, Surgailis D, Škarnulis A ( 2017 ) . STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE . Econometric Theory vol. 34 , ( 6 ) 1159 - 1179 .
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 .
Bailey N, Giraitis L ( 2016 ) . Spectral approach to parameter-free unit root testing . Computational Statistics & Data Analysis vol. 100 , Article C , 4 - 16 .
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
Galvão AB, Giraitis L, Kapetanios G, Petrova K ( 2016 ) . A time varying DSGE model with financial frictions . vol. 38 , ( PB ) 690 - 716 .
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 ,
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, Wetherilt A, ŽIKEŠ F ( 2015 ) . 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 .
Giraitis L, Kapetanios G, Mansur M, Price S ( 2014 ) . Forecasting Under Structural Change . Empirical Economic and Financial Research , vol. 48 , Springer Nature
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 .
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 .
Giraitis L, Kapetanios G, Yates T ( 2014 ) . Inference on stochastic time-varying coefficient models . Journal of Econometrics vol. 179 , ( 1 ) 46 - 65 .
Dalla V, Giraitis L, Koul HL ( 2014 ) . Studentizing weighted sums of linear processes . Journal of Time Series Analysis
Giraitis L, Koul HL ( 2013 ) . On asymptotic distributions of weighted sums of periodograms . Bernoulli vol. 19 , ( 5 B ) 2389 - 2413 .
Bailey N, Giraitis L ( 2013 ) . Weak convergence in the near unit root setting . Statistics & Probability Letters vol. 83 , ( 5 ) 1411 - 1415 .
Giraitis L, Kapetanios G, Price S ( 2013 ) . Adaptive forecasting in the presence of recent and ongoing structural change . Journal of Econometrics
Giraitis L, Koul HL ( 2013 ) . On asymptotic distributions of weighted sums of periodograms . BERNOULLI vol. 19 , ( 5B ) 2389 - 2413 .
Giraitis L, Koul HL, Surgailis D ( 2012 ) . Large Sample Inference for Long Memory Processes . World Scientific Publishing
Giraitis L, Phillips PCB ( 2012 ) . Mean and autocovariance function estimation near the boundary of stationarity . Journal of Econometrics vol. 169 , ( 2 ) 166 - 178 .
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, 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 .
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 ,
Phillips PCB, Magdalinos T, Giraitis L ( 2010 ) . Smoothing local-to-moderate unit root theory . J ECONOMETRICS vol. 158 , ( 2 ) 274 - 279 .
Giraitis L, Leipus R, Surgailis D ( 2010 ) . AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS . ECONOMET THEOR vol. 26 , ( 2 ) 406 - 425 .
Abadir KM, Distaso W, Giraitis L ( 2009 ) . Two estimators of the long-run variance: Beyond short memory . J ECONOMETRICS vol. 150 , ( 1 ) 56 - 70 .
Giraitis L, Leipus R, Surgailis D ( 2009 ) . ARCH(∞) Models and Long Memory Properties . Handbook of Financial Time Series , Springer Nature
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 .
Abadir KM, Distaso W, Giraltis L ( 2007 ) . Nonstationarity-extended local Whittle estimation . J ECONOMETRICS vol. 141 , ( 2 ) 1353 - 1384 .
Giraitis L, Leipus R, Surgailis D ( 2007 ) . Recent advances in ARCH modelling . 3 - 38 .
Novak SY, Dalla V, Giraitis L ( 2007 ) . Evaluating currency risk in emerging markets . ACTA APPL MATH vol. 97 , ( 1-3 ) 163 - 175 .
Bhansali RJ, Giraitis L, Kokoszka PS ( 2007 ) . Convergence of quadratic forms with nonvanishing diagonal . STAT PROBABIL LETT vol. 77 , ( 7 ) 726 - 734 .
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 .
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 .
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 )
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 .
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 .
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 .
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 .
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 .
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 .
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 ,
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
Giraitis L, Robinson PM ( 2003 ) . Edgeworth expansions for semiparametric Whittle estimation of long memory . ANN STAT vol. 31 , ( 4 ) 1325 - 1375 .
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 .
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 .
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 .
Giraitis L, Surgailis D ( 2002 ) . The Reduction Principle for the Empirical Process of a Long Memory Linear Process . Empirical Process Techniques for Dependent Data , Springer Nature
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 .
Giraitis L, Hidalgo J, Robinson PM ( 2001 ) . Gaussian estimation of parametric spectral density with unknown pole . ANN STAT vol. 29 , ( 4 ) 987 - 1023 .
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 ,
Giraitis L, Robinson PM ( 2001 ) . Whittle estimation of arch models . ECONOMET THEOR vol. 17 , ( 3 ) 608 - 631 .
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 .
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.) ,
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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