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Alternative forms of fractional Brownian motion
Marinucci, Domenico; Robinson, Peter M. - 1998
Persistent link: https://www.econbiz.de/10000991075
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Cointegration in fractional systems with unknown integration orders
Robinson, Peter M.; Hualde, Javier - 2003
Persistent link: https://www.econbiz.de/10001740392
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LARCH, leverage and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003
Persistent link: https://www.econbiz.de/10001818318
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Robust covariance matrix estimation : "HAC" estimates with long memory/antipersistence correction
Robinson, Peter M. - 2004
Persistent link: https://www.econbiz.de/10002034300
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Cointegration in fractional systems with deterministic trends
Robinson, Peter M.; Iacone, Fabrizio - 2004
Persistent link: https://www.econbiz.de/10002093996
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Parametric estimation under long-range dependence
Giraitis, Liudas; Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001587921
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Time series with long memory
Robinson, Peter M. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001685690
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Adaptive semiparametric estimation of the memory parameter
Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander - 2000
Persistent link: https://www.econbiz.de/10001444259
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Whittle pseudo-maximum likelihood estimation for nonstationary time series
Velasco, Carlos; Robinson, Peter M. - 2000
Persistent link: https://www.econbiz.de/10001482791
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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719