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Meet the School

Giles Spungin

Interview with Giles Spungin, Visiting Professor and ex Queen Mary PhD student.

Meet Giles Spungin, who teaches Business Finance, Financial Statements and Applied Risk Management at Queen Mary.

Meet the School

Ammar Mahmood
Meet Ammar Mahmood, who studies BSc Economics at Queen Mary.

Recent working papers

A Variance Decomposition of Index-Linked Bond Returns (2012)
Francis Breedon
View abstract

Liudas Giraitis

Liudas Giraitis
Professor

Room number: CB301
Tel: +44 20 7882 8826
Fax: +44 20 8983 3580
Email: l.giraitis@qmul.ac.uk
Office hours: Friday 14:00-16:00

Research keywords: Time-Series Econometrics

Liudas has completed extensive research on long memory and integrated I(d) models. He is interested in ARCH models, their properties and estimation methods. Liudas has most recently been working on testing and estimation of integrated time series models in econometrics and development of comprehensive asymptotic theory for quadratic forms of dependent variables. He has published numerous articles in the leading statistical and econometric journals.



Selected publications

  • Giraitis, L.,"Whittle estimation of ARCH models" (with P.M.Robinson), Econometric Theory, 17, 608-631, 2001.
  • Giraitis, L., "Edgeworth expansions for semiparametric Whittle estimation of long memory ", (with P.M. Robinson), Annals of Statistics, 31, 1325-1375, 2003.
  • Giraitis, L., "Rescaled Variance and related tests for long memory in volatility and levels", (with P. Kokoszka, R. Leipus, G. Teyssiere), Journal of of Econometrics, 112, 265-294, 2003.
  • " A test for stationarity versus trends and unti roots for a wide class of dependent errors", (with R. Leipus, A. Phillipe), Econometric Theory, 22, 989-1029, forthcoming.