Filters: Author is Kokoszka, P. [Clear All Filters]
Approximations and limit theory for quadratic forms of linear processes. Journal of Stochastic Processes and their Applications. 117(1):71-95.. 2007.
Testing for long memory in the presence of a general trend. Journal of Applied Probability. 38 No 4. 2001.
Rescaled variance and related tests for long memory in volatility and levels. Journal of Econometrics. 112:265-294.. 2003.
On the power of R/S-type tests fort stationarity against contiguous and semi long memory alternatives. Acta Applicandae Mathematicae. 78:285-299.. 2003.
Stationary ARCH models: dependence structure and Central Limit Theorem. Econometric Theory. 16:3-22.. 2000.
Semiparametric estimation of the intensity of long memory in conditional Heteroskedasticity. Statistical Inference for Stochastic Processes. 3:113-128.. 2000.
Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD