Liudas Giraitis

University of York - Department of Mathematics and Economics

Heslington, York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS

591

SSRN CITATIONS
Rank 7,950

SSRN RANKINGS

Top 7,950

in Total Papers Citations

23

CROSSREF CITATIONS

141

Scholarly Papers (17)

1.

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 83 (381,262)

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2.

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 72 (413,388)
Citation 2

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3.

Uniform Limit Theory for Stationary Autoregression

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 62 (446,868)
Citation 5

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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 30 (607,988)
Citation 2
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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 30 (607,988)

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5.

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 41 (533,822)
Citation 7

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6.

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 37 (553,841)
Citation 2

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

7.

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 36 (559,102)
Citation 1

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

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 29 (598,349)

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9.
Downloads 26 (617,447)

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 26 (635,380)

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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

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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 25 (624,113)
Citation 4

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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 (645,007)
Citation 2

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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 20 (659,177)
Citation 1

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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 19 (666,406)
Citation 1

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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 16 (688,451)
Citation 1

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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 16 (688,451)
Citation 5

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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 (703,783)

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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 (711,747)

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