Liudas Giraitis : Citation Profile


Are you Liudas Giraitis?

Queen Mary University of London

11

H index

12

i10 index

547

Citations

RESEARCH PRODUCTION:

25

Articles

19

Papers

RESEARCH ACTIVITY:

   17 years (1996 - 2013). See details.
   Cites by year: 32
   Journals where Liudas Giraitis has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 12 (2.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgi284
   Updated: 2019-11-16    RAS profile: 2013-11-18    
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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 (71)

Caporale, Guglielmo Maria (38)

Chevillon, Guillaume (12)

Rodríguez Caballero, Carlos (12)

Arteche, Josu (11)

Yazgan, Ege (10)

Phillips, Peter (10)

Guggenberger, Patrik (9)

YAYA, OLAOLUWA (8)

Iacone, Fabrizio (8)

Plastun, Alex (8)

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 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
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2018The Italian employment-rich recovery: a closer look. (2018). Viviano, Eliana ; Bovini, Giulia. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_461_18.

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

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2018PERSISTENCE IN CONVERGENCE AND CLUB FORMATION. (2018). Stengos, Thanasis ; Zkan, Harun ; Yazgan, Ege M. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:2:p:119-138.

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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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2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2018Testing for Moderate Explosiveness in the Presence of Drift. (2018). Sun, Yixiao ; Wang, Shaoping ; Guo, Gangzheng. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2k26h10n.

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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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2017Persistence in the Cryptocurrency Market. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6811.

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2019Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach. (2019). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7537.

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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 ; Ergemen, Yunus Emre ; Rodriguez, Carlos Vladimir . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2018Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process. (2018). Phillips, Peter ; PEter, ; Wang, Qiying ; Sabzikar, Farzad. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2131.

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2017Latent Variable Nonparametric Cointegrating Regression. (2017). , Peter ; PEter, ; Lieberman, Offer. 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). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1703.

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2018Perpetual learning and apparent long memory. (2018). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:343-365.

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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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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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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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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2018A UK financial conditions index using targeted data reduction: Forecasting and structural identification. (2018). Young, Garry ; Price, Simon ; Kapetanios, George. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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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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2019Automobile components: Lithium and cobalt. Evidence of persistence. (2019). Gil-Alana, Luis A ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:489-495.

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2018The EMBI in Latin America: Fractional integration, non-linearities and breaks. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:34-41.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

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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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2019An examination of trade-weighted real exchange rates based on fractional integration. (2019). , Tommasotrani ; Gil-Alana, Luis Alberiko ; Trani, Tommaso. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:64-76.

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2019New perspectives on forecasting inflation in emerging market economies: An empirical assessment. (2019). Martínez García, Enrique ; Duncan, Roberto ; Martinez-Garcia, Enrique. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:1008-1031.

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2018Credit risk modelling under recessionary and financially distressed conditions. (2018). Tzavalis, Elias ; Adraktas, G ; Dendramis, Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:160-175.

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

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2019Lithium: Production and estimated consumption. Evidence of persistence. (2019). Monge, Manuel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:198-202.

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2018On a class of estimation and test for long memory. (2018). Fu, Hui ; He, Xin-Jiang ; Chen, Wenting . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:906-920.

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2019Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. (2019). Gil-Alana, Luis A ; Adebola, Solarin Sakiru ; Madigu, Godfrey . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1227-1236.

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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, Bogdan. 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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2018Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:227-238.

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2018Persistence in the cryptocurrency market. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:141-148.

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2019The forward premium anomaly in the energy futures markets: A time-varying approach. (2019). Charfeddine, Lanouar ; Mrabet, Zouhair ; ben Khediri, Karim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:600-615.

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2018Invariance principles for tempered fractionally integrated processes. (2018). Sabzikar, Farzad ; Surgailis, Donatas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3419-3438.

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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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2018Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model. (2018). Tzavalis, Elias ; Karavias, Yiannis ; Symeonides, Spyridon D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:54-59.

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2019A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process. (2019). Hwang, Eunju. In: Statistics & Probability Letters. RePEc:eee:stapro:v:152:y:2019:i:c:p:59-68.

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2019Predictive, finite-sample model choice for time series under stationarity and non-stationarity. (2019). Fryzlewicz, Piotr ; Preuss, Philip ; Kley, Tobias. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101748.

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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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2018New Perspectives on Forecasting Inflation in Emerging Market Economies: An Empirical Assessment. (2018). Martínez García, Enrique ; Duncan, Roberto ; Martinez-Garcia, Enrique. In: Globalization Institute Working Papers. RePEc:fip:feddgw:338.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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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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2018Generating univariate fractional integration within a large VAR(1). (2018). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume. In: Post-Print. RePEc:hal:journl:hal-01980783.

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2018Generating Univariate Fractional Integration within a Large VAR(1). (2018). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume. In: Working Papers. RePEc:hal:wpaper:halshs-01944588.

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2019On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors. (2019). Stauskas, Ovidijus. In: Working Papers. RePEc:hhs:lunewp:2019_002.

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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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2019Time Trends and Persistence in the Global CO2 Emissions Across Europe. (2019). , Tommasotrani ; Trani, Tommaso ; Gil-Alana, Luis A. In: Environmental & Resource Economics. RePEc:kap:enreec:v:73:y:2019:i:1:d:10.1007_s10640-018-0257-5.

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2018Testing for strict stationarity in a random coefficient autoregressive model. (2018). Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/02.

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2019Inflation in Argentina: Analysis of Persistence Using Fractional Integration. (2019). Gil-Alana, Luis A ; Isoardi, Mateo. In: Eastern Economic Journal. RePEc:pal:easeco:v:45:y:2019:i:2:d:10.1057_s41302-019-00133-8.

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2018How do Stocks in BRICS co-move with REITs?. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis. In: MPRA Paper. RePEc:pra:mprapa:88753.

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2018Is there convergence between the BRICS and International REIT Markets?. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis ; coskun, yener ; Akinsomi, Omokolade. In: MPRA Paper. RePEc:pra:mprapa:88756.

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2018High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90518.

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2019Long Memory, Realized Volatility and HAR Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:881.

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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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2019Change-in-mean tests in long-memory time series: a review of recent developments. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Wenger, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:103:y:2019:i:2:d:10.1007_s10182-018-0328-5.

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2018Inflation analysis in the Central American Monetary Council. (2018). Gil-Alana, Luis ; Carcel, Hector. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1223-0.

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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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2018Analysis of variance for high-dimensional time series. (2018). Nagahata, Hideaki ; Taniguchi, Masanobu. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9187-7.

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2018A frequency-domain test for long range dependence. (2018). Gromykov, Gennadi ; Philippe, Anne ; Haye, Mohamedou Ould. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9164-6.

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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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2018Testing for Stationarity at High Frequency. (2018). Park, Joon Y ; Lu, YE ; Jiang, Bibo . In: Working Papers. RePEc:syd:wpaper:2018-09.

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2018THIS TIME IT IS DIFFERENT! OR NOT? DISCOUNTING PAST DATA WHEN PREDICTING THE FUTURE. (2018). Franses, Philip Hans ; Janssens, Eva. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500057.

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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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article34
2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
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This paper has another version. Agregated cites: 34
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Uniform limit theory for stationary autoregression.() In: Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
2006Consistent estimation of the memory parameter for nonlinear time series In: Journal of Time Series Analysis.
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article26
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: 26
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Consistent estimation of the memory parameter for nonlinear time series.() In: Discussion Papers.
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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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article79
2001WHITTLE ESTIMATION OF ARCH MODELS In: Econometric Theory.
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article20
2006A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS In: Econometric Theory.
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article11
The test for stationarity versus trends and unit roots for a wide class of dependent errors.() In: Discussion Papers.
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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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paper8
2010Smoothing local-to-moderate unit root theory.(2010) In: Journal of Econometrics.
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2009Mean and Autocovariance Function Estimation Near the Boundary of Stationarity In: Cowles Foundation Discussion Papers.
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paper3
2012Mean and autocovariance function estimation near the boundary of stationarity.(2012) In: Journal of Econometrics.
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2003Rescaled variance and related tests for long memory in volatility and levels In: Journal of Econometrics.
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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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