| Publication | Date of Publication | Type |
|---|
Testing mean stability of heteroskedastic time series
Journal of Time Series Analysis | 2026-01-07 | Paper |
Reprint of: Robust inference on correlation under general heterogeneity
Journal of Econometrics | 2025-01-16 | Paper |
Estimation on unevenly spaced time series
Journal of Time Series Analysis | 2023-08-24 | Paper |
Choosing between persistent and stationary volatility
The Annals of Statistics | 2023-01-12 | Paper |
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
Econometric Theory | 2022-11-23 | Paper |
Estimation of time-varying covariance matrices for large datasets
Econometric Theory | 2022-01-26 | Paper |
Time-varying instrumental variable estimation
Journal of Econometrics | 2021-10-26 | Paper |
Asymptotic theory for time series with changing mean and variance
Journal of Econometrics | 2021-02-04 | Paper |
Estimation pitfalls when the noise is not i.i.d.
Japanese Journal of Statistics and Data Science | 2019-10-18 | Paper |
Stationary integrated ARCH() and AR() processes with finite variance
Econometric Theory | 2018-11-09 | Paper |
Spectral approach to parameter-free unit root testing
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Journal of Time Series Analysis | 2018-03-09 | Paper |
Asymptotic normality of quadratic forms of martingale differences
Statistical Inference for Stochastic Processes | 2017-12-22 | Paper |
Mean and autocovariance function estimation near the boundary of stationarity
Journal of Econometrics | 2017-05-12 | Paper |
Mean and autocovariance function estimation near the boundary of stationarity
Journal of Econometrics | 2017-05-12 | Paper |
An I(d) model with trend and cycles
Journal of Econometrics | 2016-08-12 | Paper |
Smoothing local-to-moderate unit root theory
Journal of Econometrics | 2016-08-04 | Paper |
Two estimators of the long-run variance: beyond short memory
Journal of Econometrics | 2016-07-04 | Paper |
Nonstationarity-extended local Whittle estimation
Journal of Econometrics | 2016-05-27 | Paper |
Corrigendum to: ``Rescaled variance and related tests for long memory in volatility and levels''
Journal of Econometrics | 2016-03-30 | Paper |
STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
Journal of Time Series Analysis | 2014-12-10 | Paper |
Inference on stochastic time-varying coefficient models
Journal of Econometrics | 2014-08-07 | Paper |
Asymptotic normality for weighted sums of linear processes
Econometric Theory | 2014-06-20 | Paper |
Adaptive forecasting in the presence of recent and ongoing structural change
Journal of Econometrics | 2014-06-06 | Paper |
On asymptotic distributions of weighted sums of periodograms
Bernoulli | 2014-02-04 | Paper |
Weak convergence in the near unit root setting
Statistics & Probability Letters | 2013-11-29 | Paper |
Aggregation of the random coefficient GLARCH(1,1) process
Econometric Theory | 2010-04-23 | Paper |
| Recent advances in ARCH modelling | 2010-02-05 | Paper |
ARCH(∞) Models and Long Memory Properties
Handbook of Financial Time Series | 2009-11-27 | Paper |
| Large sample inference for long memory processes | 2009-10-12 | Paper |
Evaluating currency risk in emerging markets
Acta Applicandae Mathematicae | 2007-07-19 | Paper |
Convergence of quadratic forms with nonvanishing diagonal
Statistics & Probability Letters | 2007-07-16 | Paper |
Uniform Limit Theory for Stationary Autoregression
Journal of Time Series Analysis | 2007-05-29 | Paper |
Consistent estimation of the memory parameter for nonlinear time series
Journal of Time Series Analysis | 2007-05-29 | Paper |
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
Econometric Theory | 2007-04-23 | Paper |
Approximations and limit theory for quadratic forms of linear processes
Stochastic Processes and their Applications | 2007-03-29 | Paper |
Estimation of the memory parameter by fitting fractionally differenced autoregressive models
Journal of Multivariate Analysis | 2006-12-07 | Paper |
ARCH-type bilinear models with double long memory.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Edgeworth expansions for semiparametric Whittle estimation of long memory.
The Annals of Statistics | 2004-07-01 | Paper |
| scientific article; zbMATH DE number 1944313 (Why is no real title available?) | 2004-01-20 | Paper |
On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
Acta Applicandae Mathematicae | 2003-12-09 | Paper |
| scientific article; zbMATH DE number 1944033 (Why is no real title available?) | 2003-10-21 | Paper |
WHITTLE ESTIMATION OF ARCH MODELS
Econometric Theory | 2003-05-18 | Paper |
A model for long memory conditional heteroscedasticity.
The Annals of Applied Probability | 2003-05-06 | Paper |
Rescaled variance and related tests for long memory in volatility and levels
Journal of Econometrics | 2003-04-09 | Paper |
Gaussian estimation of parametric spectral density with unknown pole
The Annals of Statistics | 2002-11-14 | Paper |
Testing for long memory in the presence of a general trend
Journal of Applied Probability | 2002-06-26 | Paper |
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
Econometric Theory | 2002-05-23 | Paper |
Functional non-central and central limit theorems for bivariate Appell polynomials
Journal of Theoretical Probability | 2002-05-23 | Paper |
Variance-type estimation of long memory
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Central limit theorem for the empirical process of a linear sequence with long memory
Journal of Statistical Planning and Inference | 2000-09-04 | Paper |
Central limit theorems for quadratic forms with time-domain conditions
The Annals of Probability | 2000-09-04 | Paper |
Estimation of the dependence parameter in linear regression with long-range-dependent errors
Stochastic Processes and their Applications | 2000-03-01 | Paper |
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
Statistical Inference for Stochastic Processes | 2000-01-01 | Paper |
Convergence of normalized quadratic forms
Journal of Statistical Planning and Inference | 1999-11-23 | Paper |
Whittle estimator for finite-variance non-Gaussian time series with long memory
The Annals of Statistics | 1999-11-09 | Paper |
On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
Journal of Time Series Analysis | 1999-08-10 | Paper |
Asymptotic normality of regression estimators with long memory errors
Statistics & Probability Letters | 1999-01-10 | Paper |
Limit theorems for bivariate Appell polynomials. II: Non-central limit theorems
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1998-04-20 | Paper |
Limit theorems for bivariate Appell polynomials. I: Central limit theorems
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1997-05-28 | Paper |
The change-point problem for dependent observations
Journal of Statistical Planning and Inference | 1996-11-12 | Paper |
A generalized fractionally differencing approach in long-memory modeling
Lithuanian Mathematical Journal | 1996-02-25 | Paper |
Testing and estimating in the change-point problem of the spectral function
Lithuanian Mathematical Journal | 1994-07-19 | Paper |
| scientific article; zbMATH DE number 218694 (Why is no real title available?) | 1993-06-29 | Paper |
Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
Lithuanian Mathematical Journal | 1992-06-25 | Paper |
Central limit theorem for polynomial forms. II
Lithuanian Mathematical Journal | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4194851 (Why is no real title available?) | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4209218 (Why is no real title available?) | 1990-01-01 | Paper |
A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4129735 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4126398 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4163965 (Why is no real title available?) | 1989-01-01 | Paper |
Limit theorem for polynomials of a linear process with long-range dependence
Lithuanian Mathematical Journal | 1989-01-01 | Paper |
Central limit theorem for polynomial forms. I
Lithuanian Mathematical Journal | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 3978040 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3899850 (Why is no real title available?) | 1985-01-01 | Paper |
CLT and other limit theorems for functionals of Gaussian processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1985-01-01 | Paper |
Central limit theorem for functionals of a linear process
Lithuanian Mathematical Journal | 1985-01-01 | Paper |
Asymptotic distribution of spectral estimates of Ito-Wiener integrals
Lithuanian Mathematical Journal | 1984-01-01 | Paper |
Convergence of certain nonlinear transformations of a Gaussian sequence to self-similar processes
Lithuanian Mathematical Journal | 1983-01-01 | Paper |
