Liudas Giraitis : Citation Profile


Are you Liudas Giraitis?

Queen Mary University of London

10

H index

10

i10 index

423

Citations

RESEARCH PRODUCTION:

25

Articles

19

Papers

RESEARCH ACTIVITY:

   17 years (1996 - 2013). See details.
   Cites by year: 24
   Journals where Liudas Giraitis has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 12 (2.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgi284
   Updated: 2017-07-22    RAS profile: 2013-11-18    
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Relations with other researchers


Works with:

Price, Simon (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Liudas Giraitis.

Is cited by:

Gil-Alana, Luis (45)

Caporale, Guglielmo Maria (29)

Rodríguez Caballero, Carlos (12)

Arteche, Josu (10)

Yazgan, Ege (9)

Phillips, Peter (8)

Andrews, Donald (8)

Krištoufek, Ladislav (7)

Chevillon, Guillaume (7)

Stengos, Thanasis (6)

Rossi, Barbara (5)

Cites to:

Phillips, Peter (10)

Robinson, Peter (7)

Bollerslev, Tim (6)

Dalla, Violetta (6)

Abadir, Karim (5)

Andrews, Donald (5)

Engle, Robert (4)

Price, Simon (4)

Henry, Marc (3)

Crato, Nuno (3)

Baillie, Richard (3)

Main data


Where Liudas Giraitis has published?


Journals with more than one article published# docs
Journal of Econometrics8
Stochastic Processes and their Applications4
Econometric Theory4
Statistics & Probability Letters3
Journal of Multivariate Analysis2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
Working Paper Series / The Rimini Centre for Economic Analysis2

Recent works citing Liudas Giraitis (2017 and 2016)


YearTitle of citing document
2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets. (2016). Etienne, Xiaoli ; Chavas, Jean-Paul ; Li, Chongguang . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235068.

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2016Has the wage Phillips curve changed in the euro area?. (2016). Viviano, Eliana ; Bulligan, Guido . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_355_16.

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2017Large time-varying parameter VARs: a non-parametric approach. (2017). Kapetanios, George ; Venditti, Fabrizio ; Marcellino, Massimiliano . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1122_17.

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2016Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_020.

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2016Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics. (2016). Bechir, Dola ; Jean-Marc, Bardet . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:115-153:n:3.

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2016On the estimation of short memory components in long memory time series models. (2016). George, Kapetanios ; Richard, Baillie . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:365-375:n:8.

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2016Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5995.

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2017Central Bank Policy Rates: Are they Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6389.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2016Large Time-Varying Parameter VARs: A Non-Parametric Approach. (2016). Venditti, Fabrizio ; Marcellino, Massimiliano ; Kapetanios, George . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11560.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2016Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1590.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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2017Central Bank Policy Rates: Are They Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1648.

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2016Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve. (2016). Russell, Bill ; Rambaccussing, Dooruj . In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:294.

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2016Revisiting useful approaches to data-rich macroeconomic forecasting. (2016). Groen, Jan ; Kapetanios, George . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:221-239.

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2016Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16.

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2016A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2017Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes. (2017). Iacone, Fabrizio ; Hualde, Javier . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:39-43.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2016Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks. (2016). Gil-Alana, Luis ; Wanke, Peter ; Barros, Carlos P. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:88-95.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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2016Time series analysis of persistence in crude oil price volatility across bull and bear regimes. (2016). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Olubusoye, Olusanya E. In: Energy. RePEc:eee:energy:v:109:y:2016:i:c:p:29-37.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis A. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2016Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices. (2016). Sermpinis, Georgios ; Psaradellis, Ioannis . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1268-1283.

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2016Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. (2016). YAYA, OLAOLUWA ; Udomboso, Christopher G ; Tumala, Mohammed M. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:273-281.

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2016Modeling persistence of carbon emission allowance prices. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; de Gracia, Fernando Perez . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:55:y:2016:i:c:p:221-226.

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2016MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008. (2016). Assaf, Ata . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:222-240.

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2017Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory. (2017). Mghaieth, Asma ; el Mehdi, Imen Khanchel . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:595-611.

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2017True or spurious long memory in European non-EMU currencies. (2017). Walther, Thomas ; Piontek, Krzysztof ; Thu, Hien Pham ; Klein, Tony . In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:217-230.

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2017Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1). (2017). YABE, Ryota . In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:220-226.

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2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11:d:70218.

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2016Persistence in Convergence: Some further results. (2016). Yazgan, Ege ; Stengos, Thanasis ; Ozkan, Huran . In: Working Papers. RePEc:gue:guelph:2016-05.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-571.

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2017The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence. (2017). Payne, James ; Mervar, Andrea ; Gil-Alana, Luis. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9181-2.

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2016POLONIA dynamics during the years 2006–2012 and the effectiveness of the monetary Policy of the National Bank of Poland. (2016). Kliber, Agata ; Piwnicka, Magorzata ; Puciennik, Piotr . In: Empirica. RePEc:kap:empiri:v:43:y:2016:i:1:d:10.1007_s10663-015-9287-1.

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2016Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3.

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2016Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; Bouri, Elie ; Roubaud, David . In: Working Papers. RePEc:pre:wpaper:201654.

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2016Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2016). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: Working Papers. RePEc:qed:wpaper:1324.

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2017FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219.

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2016High versus low inflation: implications for price-level convergence. (2016). YILMAZKUDAY, HAKAN ; Yazgan, Ege. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0990-3.

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2016Long memory in the Ukrainian stock market and financial crises. (2016). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:2:d:10.1007_s12197-014-9299-x.

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2016A goodness-of-fit test for marginal distribution of linear random fields with long memory. (2016). Mimoto, Nao ; Koul, Hira L ; Surgailis, Donatas . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:79:y:2016:i:2:d:10.1007_s00184-015-0550-z.

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2016Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks. (2016). Hannikainen, Jari . In: Working Papers. RePEc:tam:wpaper:1692.

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2016Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks. (2016). Jacobs, Jan ; Dungey, Mardi ; Tian, Jing . In: Working Papers. RePEc:tas:wpaper:23396.

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2016Rolling window selection for out-of-sample forecasting with time-varying parameters. (2016). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Economics Working Papers. RePEc:upf:upfgen:1435.

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Works by Liudas Giraitis:


YearTitleTypeCited
2006Uniform Limit Theory for Stationary Autoregression In: Journal of Time Series Analysis.
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article27
2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
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This paper has another version. Agregated cites: 27
paper
Uniform limit theory for stationary autoregression.() In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 27
paper
2006Consistent estimation of the memory parameter for nonlinear time series In: Journal of Time Series Analysis.
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article22
2006Consistent estimation of the memory parameterfor nonlinear time series.(2006) In: STICERD - Econometrics Paper Series.
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This paper has another version. Agregated cites: 22
paper
Consistent estimation of the memory parameter for nonlinear time series.() In: Discussion Papers.
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paper
2002On the power of R/S-type tests under contiguous and semi long memory alternatives In: CORE Discussion Papers.
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paper0
2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM In: Econometric Theory.
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article64
2001WHITTLE ESTIMATION OF ARCH MODELS In: Econometric Theory.
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article15
2006A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS In: Econometric Theory.
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article8
2010AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS In: Econometric Theory.
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article1
2008Smoothing Local-to-Moderate Unit Root Theory In: Cowles Foundation Discussion Papers.
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paper6
2010Smoothing local-to-moderate unit root theory.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 6
article
2009Mean and Autocovariance Function Estimation Near the Boundary of Stationarity In: Cowles Foundation Discussion Papers.
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paper1
2012Mean and autocovariance function estimation near the boundary of stationarity.(2012) In: Journal of Econometrics.
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article
2003Rescaled variance and related tests for long memory in volatility and levels In: Journal of Econometrics.
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article83
2005Corrigendum to Rescaled variance and related tests for long memory in volatility and levels: [J. Econom. 112 (2003) 265-294] In: Journal of Econometrics.
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article1
2007Nonstationarity-extended local Whittle estimation In: Journal of Econometrics.
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article85
2009Two estimators of the long-run variance: Beyond short memory In: Journal of Econometrics.
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article9
2011An I(d) model with trend and cycles In: Journal of Econometrics.
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article7
2010An I(d) Model with Trend and Cycles.(2010) In: Working Paper Series.
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2013Adaptive forecasting in the presence of recent and ongoing structural change In: Journal of Econometrics.
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article21
2012Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change.(2012) In: CAMA Working Papers.
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2012Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change.(2012) In: Working Papers.
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2000Adaptive Semiparametric Estimation of the Memory Parameter In: Journal of Multivariate Analysis.
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article11
2006Estimation of the memory parameter by fitting fractionally differenced autoregressive models In: Journal of Multivariate Analysis.
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article0
ARCH-type bilinear models with double long memory In: Stochastic Processes and their Applications.
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article0
2007Approximations and limit theory for quadratic forms of linear processes In: Stochastic Processes and their Applications.
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article3
1997Estimation of the dependence parameter in linear regression with long-range-dependent errors In: Stochastic Processes and their Applications.
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article3
1999Variance-type estimation of long memory In: Stochastic Processes and their Applications.
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article3
1996Asymptotic normality of regression estimators with long memory errors In: Statistics & Probability Letters.
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article22
2007Convergence of quadratic forms with nonvanishing diagonal In: Statistics & Probability Letters.
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article2
2013Weak convergence in the near unit root setting In: Statistics & Probability Letters.
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article0
1999Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity. In: G.R.E.Q.A.M..
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paper3
2000Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity.(2000) In: Statistical Inference for Stochastic Processes.
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1999Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.(1999) In: SFB 373 Discussion Papers.
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2004LARCH, Leverage, and Long Memory In: Journal of Financial Econometrics.
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article18
2012Asymptotic Normality for Weighted Sums of Linear Processes In: Working Paper Series.
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paper3
Semiparametric estimation and inference for trending I(d) and related processes In: Discussion Papers.
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paper3
Local Whittle estimation, fully extended for nonstationarity In: Discussion Papers.
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paper2
Decomposition and asymptotic properties of quadratic forms in linear variables In: Discussion Papers.
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paper0
Two estimators of the long-run variance In: Discussion Papers.
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paper0
Estimation of the long memory parameter by fitting fractionally differenced autoregressive models In: Discussion Papers.
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paper0
The test for stationarity versus trends and unit roots for a wide class of dependent errors In: Discussion Papers.
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paper0

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