I agree that this site is using cookies. You can find further informations here.
X
Giraitis, Liudas
30  results:
OpenAccess-fulltext X
Search for persons X
?
1

Choosing between persistent and stationary volatility:

Chronopoulos, Ilias ; Giraitis, Liudas ; Kapetanios, George
Chronopoulos , I , Giraitis , L & Kapetanios , G 2022 , ' Choosing between persistent and stationary volatility ' , ANNALS OF STATISTICS , vol. 50 , no. 6 , pp. 3466-3483 . https://doi.org/10.1214/22-AOS2236.  , 2022
Link: https://kclpure.kcl.ac.u..
 
?
2

Choosing between persistent and stationary volatility:

Chronopoulos, Ilias ; Giraitis, Liudas ; Kapetanios, George
Chronopoulos , I , Giraitis , L & Kapetanios , G 2022 , ' Choosing between persistent and stationary volatility ' , ANNALS OF STATISTICS , vol. 50 , no. 6 , pp. 3466-3483 . https://doi.org/10.1214/22-AOS2236.  , 2022
Link: https://kclpure.kcl.ac.u..
 
?
3

Time-Varying Instrumental Variable Estimation:

Giraitis, Liudas ; Kapetanios, George ; Marcellino, Massimiliano
Giraitis , L , Kapetanios , G & Marcellino , M 2021 , ' Time-Varying Instrumental Variable Estimation ' , JOURNAL OF ECONOMETRICS , vol. 224 , no. 2 , pp. 394-415 . https://doi.org/10.1016/j.jeconom.2020.08.013.  , 2021
Link: https://kclpure.kcl.ac.u..
 
?
4

Time-varying instrumental variable estimation:

Giraitis, Liudas ; Kapetanios, George ; Marcellino, Massimiliano
Series: Working Paper.  , 2020
Link: http://hdl.handle.net/10..
 
?
5

Robust tests for white noise and cross-correlation:

Dalla, Violetta ; Giraitis, Liudas ; Phillips, Peter C. B
Series: Working Paper.  , 2020
Link: http://hdl.handle.net/10..
 
?
6

Estimation of time-varying covariance matrices for large da..:

Dendramis, Yiannis ; Giraitis, Liudas ; Kapetanios, George
Series: Working Paper.  , 2020
Link: http://hdl.handle.net/10..
 
?
7

Asymptotic normality of quadratic forms of martingale diffe..:

Giraitis, Liudas ; Taniguchi, Masanobu ; Taqqu, Murad S
http://eprints.lse.ac.uk/67383/1/Giraitis_Asymptotic%20normality_2016.pdf.  , 2016
Link: http://eprints.lse.ac.uk..
 
?
8

Estimating the Dynamics and Persistence of Financial Networ..:

Giraitis, Liudas ; Kapetanios, George ; Wetherilt, Anne.
URL: https://journaldata.zbw.eu/dataset/f16f052f-c4e9-4ddb-90ff-33f78c421419/resource/150d8ba5-3c6a-4c2c-91e2-34204c3d475b/download/readme.gkwz.txt.  , 2016
Link: https://doi.org/10.15456..
 
?
9

A time varying DSGE model with financial frictions:

Galvão, Ana Beatriz ; Giraitis, Liudas ; Kapetanios, George.
Galvão , A B , Giraitis , L , Kapetanios , G & Petrova , K 2016 , ' A time varying DSGE model with financial frictions ' , Journal of Empirical Finance , vol. 38 , no. B , pp. 690–716 . https://doi.org/10.1016/j.jempfin.2016.02.012.  , 2016
Link: https://risweb.st-andrew..
 
?
10

A time varying DSGE model with financial frictions:

Galvão, Ana Beatriz ; Giraitis, Liudas ; Kapetanios, George.
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
?
11

Inference on multivariate heteroscedastic time varying rand..:

Giraitis, Liudas ; Kapetanios, George ; Yates, Tony
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
?
12

Integrated ARCH, FIGARCH and AR models: Origins of long mem..:

Giraitis, Liudas ; Surgailis, Donatas ; Škarnulis, Andrius
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
?
13

Testing mean stability of heteroskedastic time series:

Dalla, Violetta ; Giraitis, Liudas ; Phillips, Peter C.B
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
?
14

Estimating time-varying DSGE models using minimum distance ..:

Giraitis, Liudas ; Kapetanios, George ; Theodoridis, Konstantinos.
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
?
15

A Bayesian local likelihood method for modelling parameter ..:

Galvão, Ana Beatriz ; Giraitis, Liudas ; Kapetanios, George.
Series: Working Paper.  , 2015
Link: http://hdl.handle.net/10..
 
1-15