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Liudas Giraitis : Citation Profile


Are you Liudas Giraitis?

Queen Mary University of London

10

H index

11

i10 index

449

Citations

RESEARCH PRODUCTION:

25

Articles

19

Papers

RESEARCH ACTIVITY:

   17 years (1996 - 2013). See details.
   Cites by year: 26
   Journals where Liudas Giraitis has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 12 (2.6 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgi284
   Updated: 2018-02-17    RAS profile: 2013-11-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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 (50)

Caporale, Guglielmo Maria (31)

Rodríguez Caballero, Carlos (12)

Arteche, Josu (11)

Yazgan, Ege (9)

Phillips, Peter (8)

Andrews, Donald (8)

Iacone, Fabrizio (8)

Krištoufek, Ladislav (7)

Chevillon, Guillaume (7)

Stengos, Thanasis (6)

Cites to:

Phillips, Peter (10)

Robinson, Peter (7)

Dalla, Violetta (6)

Bollerslev, Tim (6)

Andrews, Donald (5)

Abadir, Karim (5)

Price, Simon (4)

Engle, Robert (4)

Baillie, Richard (3)

Crato, Nuno (3)

Henry, Marc (3)

Main data


Where Liudas Giraitis has published?


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

Recent works citing Liudas Giraitis (2018 and 2017)


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

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2017Quantile spectral analysis for locally stationary time series. (2017). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav ; Birr, Stefan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1619-1643.

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2017Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions. (2017). Rao, Tata Subba ; Chandler, Richard E ; Jesus, Joao ; Wilson, Granville Tunnicliffe . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:204-224.

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2017QMLE for Quadratic ARCH Model with Long Memory. (2017). Grublyt, Ieva ; Karnulis, Andrius ; Surgailis, Donatas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:535-551.

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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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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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2017Latent Variable Nonparametric Cointegrating Regression. (2017). Lieberman, Offer ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3013.

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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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2017Persistence in the Cryptocurrency Market. (2017). Gil-Alana, Luis ; Plastun, Alex ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1703.

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

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2017CPI and inflation in Kenya. Structural breaks, non-linearities and dependence. (2017). Gil-Alana, Luis ; Mudida, Robert . In: International Economics. RePEc:eee:inteco:v:150:y:2017:i:c:p:72-79.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). Gil-Alana, Luis ; Yaya, Olaoluwa S ; Awe, Olushina O. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Tefana Maria . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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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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2017This time it is different! Or not?. (2017). Franses, Philip Hans ; Janssens, E. In: Econometric Institute Research Papers. RePEc:ems:eureir:101764.

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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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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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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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2017Has the wage Phillips curve changed in the euro area?. (2017). Viviano, Eliana ; Bulligan, Guido . In: IZA Journal of Labor Policy. RePEc:spr:izalpo:v:6:y:2017:i:1:d:10.1186_s40173-017-0087-z.

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2018Are standard asset pricing factors long-range dependent?. (2018). Auer, Benjamin Rainer. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9385-y.

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2017Testing epidemic change in nearly nonstationary process with statistics based on residuals. (2017). Markeviit, Jurgita ; Suquet, Charles ; Rakauskas, Alfredas . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0712-0.

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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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article29
2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
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This paper has another version. Agregated cites: 29
paper
Uniform limit theory for stationary autoregression.() In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 29
paper
2006Consistent estimation of the memory parameter for nonlinear time series In: Journal of Time Series Analysis.
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article24
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: 24
paper
Consistent estimation of the memory parameter for nonlinear time series.() In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
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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article68
2001WHITTLE ESTIMATION OF ARCH MODELS In: Econometric Theory.
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article17
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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This paper has another version. Agregated cites: 1
article
2003Rescaled variance and related tests for long memory in volatility and levels In: Journal of Econometrics.
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article85
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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article92
2009Two estimators of the long-run variance: Beyond short memory In: Journal of Econometrics.
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article10
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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This paper has another version. Agregated cites: 7
paper
2013Adaptive forecasting in the presence of recent and ongoing structural change In: Journal of Econometrics.
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article23
2012Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change.(2012) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 23
paper
2012Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 23
paper
2000Adaptive Semiparametric Estimation of the Memory Parameter In: Journal of Multivariate Analysis.
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article13
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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article4
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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article4
1996Asymptotic normality of regression estimators with long memory errors In: Statistics & Probability Letters.
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article21
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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article
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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article19
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.
[Citation analysis]
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.
[Citation analysis]
paper0

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