Liudas Giraitis

University of York - Department of Mathematics and Economics

Heslington, York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS

530

SSRN CITATIONS
Rank 6,411

SSRN RANKINGS

Top 6,411

in Total Papers Citations

17

CROSSREF CITATIONS

140

Scholarly Papers (17)

1.

Asymptotic Normality for Weighted Sums of Linear Processes

Number of pages: 24 Posted: 15 Jan 2012
Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira Koul
Imperial College Business School, Imperial College Business School, University of York - Department of Mathematics and Economics and Michigan State University
Downloads 65 (345,618)
Citation 2

Abstract:

Loading...

2.

Two Estimators of the Long-Run Variance: Beyond Short Memory

Number of pages: 38 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 64 (348,401)

Abstract:

Loading...

3.

Uniform Limit Theory for Stationary Autoregression

Cowles Foundation Discussion Paper No. 1475
Number of pages: 10 Posted: 27 Jul 2004
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 61 (357,042)
Citation 3

Abstract:

Loading...

Autoregression, Gaussian limit theory, local to unity, uniform limit

Consistent Estimation of the Memory Parameter for Nonlinear Time Series

Journal of Time Series Analysis, Vol. 27, No. 2, pp. 211-251, March 2006
Number of pages: 41 Posted: 08 May 2006
Violetta Dalla, Liudas Giraitis and Javier Hidalgo
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), University of York - Department of Mathematics and Economics and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 29 (489,558)
Citation 2
  • Add to Cart

Abstract:

Loading...

Consistent Estimation of the Memory Parameter for Nonlinear Time Series

LSE STICERD Research Paper No. EM497
Number of pages: 38 Posted: 21 Jul 2008
Violetta Dalla, Liudas Giraitis and Javier S. Hidalgo
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), University of York - Department of Mathematics and Economics and London School of Economics & Political Science (LSE)
Downloads 24 (519,284)

Abstract:

Loading...

5.

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Cowles Foundation Discussion Paper No. 1690
Number of pages: 35 Posted: 21 Jan 2009
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 35 (448,961)

Abstract:

Loading...

Asymptotic normality, Integrated periodogram, Linear process, Local to unity, Localizing coefficient, Moderate deviation, Unit root

6.

Nonstationarity-Extended Local Whittle Estimation

Journal of Econometrics, Vol. 141, No. 2, p. 1353, December 2007
Number of pages: 48 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 32 (462,156)
Citation 4

Abstract:

Loading...

7.

Smoothing Local-to-Moderate Unit Root Theory

Cowles Foundation Discussion Paper No. 1659
Number of pages: 18 Posted: 21 May 2008
Yale University - Cowles Foundation, University of York and University of York - Department of Mathematics and Economics
Downloads 32 (462,156)
Citation 1

Abstract:

Loading...

Edgeworth expansion, Local to unity, Moderate deviations, Unit root distribution

8.

Gaussian Estimation of Parametric Spectral Density with Unknown Pole

LSE STICERD Research Paper No. EM424
Number of pages: 39 Posted: 21 Jul 2008
Liudas Giraitis and Javier S. Hidalgo
University of York - Department of Mathematics and Economics and London School of Economics & Political Science (LSE)
Downloads 28 (481,665)

Abstract:

Loading...

9.
Downloads 24 (503,512)

Larch, Leverage and Long Memory

LSE STICERD Research Paper No. EM460
Number of pages: 32 Posted: 21 Jul 2008
Liudas Giraitis and Donatas Surgailis
University of York - Department of Mathematics and Economics and Institute of Mathematics and Informatics, Lithuania
Downloads 24 (519,284)

Abstract:

Loading...

Larch, Leverage, and Long Memory

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 177-210, 2004
Posted: 29 Feb 2008
University of York - Department of Mathematics and Economics, Vilnius University - Mathematics & Informatics, London School of Economics & Political Science (LSE) - Department of Economics and Institute of Mathematics and Informatics, Lithuania

Abstract:

Loading...

leverage, linear ARCH, long-memory

10.

Semiparametric Estimation and Inference for Trending I(D) and Related Processes

Number of pages: 27 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 23 (509,096)
Citation 4

Abstract:

Loading...

11.

Whittle Estimation of Arch Models

LSE STICERD Research Paper No. EM406
Number of pages: 31 Posted: 21 Jul 2008
Liudas Giraitis
University of York - Department of Mathematics and Economics
Downloads 22 (515,059)
Citation 2

Abstract:

Loading...

12.

Variance-Type Estimation of Long Memory - (Now Published in Stochastic Processes and Their Applications, 29 (1999), Pp.1-24.)

LSE STICERD Research Paper No. EM363
Number of pages: 30 Posted: 21 Jul 2008
Liudas Giraitis
University of York - Department of Mathematics and Economics
Downloads 18 (538,582)
Citation 1

Abstract:

Loading...

13.

An I(d) Model with Trend and Cycles

Number of pages: 32 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 16 (550,340)
Citation 1

Abstract:

Loading...

14.

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

LSE STICERD Research Paper No. EM438
Number of pages: 44 Posted: 21 Jul 2008
Liudas Giraitis
University of York - Department of Mathematics and Economics
Downloads 15 (556,280)
Citation 1

Abstract:

Loading...

15.

A Model for Long Memory Conditional Heteroscedasticity - (Now Published in Annals of Applied Probability, 10 (2000), Pp.1002-1024.)

LSE STICERD Research Paper No. EM382
Number of pages: 27 Posted: 21 Jul 2008
Liudas Giraitis and Donatas Surgailis
University of York - Department of Mathematics and Economics and Institute of Mathematics and Informatics, Lithuania
Downloads 15 (556,280)
Citation 4

Abstract:

Loading...

16.

Parametric Estimation Under Long-Range Dependence

LSE STICERD Research Paper No. EM416
Number of pages: 29 Posted: 21 Jul 2008
Liudas Giraitis
University of York - Department of Mathematics and Economics
Downloads 14 (562,503)

Abstract:

Loading...

17.

Adaptive Semiparametric Estimation of the Memory Parameter - (Now Published with Revised Title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in Journal of Multivariate Analysis, 72 (2000), Pp.183-207.)

LSE STICERD Research Paper No. EM379
Number of pages: 22 Posted: 21 Jul 2008
Liudas Giraitis and Alexander Samarov
University of York - Department of Mathematics and Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 13 (568,677)

Abstract:

Loading...