Liudas Giraitis

Queen Mary

Professor

Mile End Road

London, London E1 4NS

United Kingdom

http://www.econ.qmul.ac.uk/people/liudas-giraitis

SCHOLARLY PAPERS

8

DOWNLOADS

397

SSRN CITATIONS
Rank 22,299

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Top 22,299

in Total Papers Citations

26

CROSSREF CITATIONS

19

Scholarly Papers (8)

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1.

Robust Tests for White Noise and Cross-Correlation

Cowles Foundation Discussion Paper No. 2194R
Number of pages: 89 Posted: 02 Apr 2020
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
National and Kapodistrian University of Athens - Department of Economics, Queen Mary and Yale University - Cowles Foundation
Downloads 150 (239,231)
Citation 1

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Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

2.

Testing Mean Stability of Heteroskedastic Time Series

Cowles Foundation Discussion Paper No. 2006
Number of pages: 49 Posted: 26 Jun 2015
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), Queen Mary and Yale University - Cowles Foundation
Downloads 82 (364,781)
Citation 3

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Heteroskedasticity, KPSS test, Mean stability, Variance stability, VS test

3.

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Downloads 67 (408,279)
Citation 7

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Bank of England Working Paper No. 490
Number of pages: 38 Posted: 05 Apr 2014
Liudas Giraitis, George Kapetanios and Simon Price
Queen Mary, King's College, London and Essex Business School
Downloads 38 (533,596)
Citation 5

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Recent and ongoing structural change, forecast combination, robust forecasts

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

CAMA Working Paper No. 14/2012
Number of pages: 48 Posted: 24 Mar 2012
Liudas Giraitis, George Kapetanios and Simon Price
Queen Mary, Bank of England and Essex Business School
Downloads 29 (585,151)
Citation 5

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recent and ongoing structural change, forecast combination, robust forecasts

4.

Estimating Time-Varying DSGE Models Using Minimum Distance Methods

Bank of England Working Paper No. 507
Number of pages: 39 Posted: 28 Aug 2014
Liudas Giraitis, George Kapetanios, Konstantinos Theodoridis and Tony Yates
Queen Mary, King's College, London, Cardiff University and University of Bristol
Downloads 59 (435,375)
Citation 9

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DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks

5.

A Regularization Approach for Estimation and Variable Selection in High Dimensional Regression

Number of pages: 49 Posted: 19 Feb 2019
Yiannis Dendramis, Liudas Giraitis and George Kapetanios
University of Cyprus - Department of Accounting and Finance, Queen Mary and King's College, London
Downloads 38 (522,022)

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large dimensional regression, sparse matrix, thresholding, shrinkage, model selection

6.

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 129-149, 2018
Number of pages: 21 Posted: 14 Feb 2018
Liudas Giraitis, George Kapetanios and Tony Yates
Queen Mary, King's College, London and University of Bristol
Downloads 1 (777,921)
Citation 14
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Time varying estimation, random coefficient models

7.

Time-Varying Instrumental Variable Estimation

CEPR Discussion Paper No. DP15210
Number of pages: 63 Posted: 12 Sep 2020
Liudas Giraitis, George Kapetanios and Massimiliano Giuseppe Marcellino
Queen Mary, King's College, London and Bocconi University - Department of Economics
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Citation 1
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8.

Studentizing Weighted Sums of Linear Processes

Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 151-172, 2014
Number of pages: 22 Posted: 07 Feb 2014
Violetta Dalla, Liudas Giraitis and Hira Koul
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), Queen Mary and Michigan State University
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Linear process, short memory, long memory, weighted sum