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Chronopoulos, Ilias Christos and Giraitis, Liudas and Kapetanios, George (2022) Choosing between persistent and stationary volatility. Annals of Statistics, 50 (6). pp. 3466-3483. DOI https://doi.org/10.1214/22-AOS2236
Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2016) Sieve-based inference for infinite-variance linear processes. Annals of Statistics, 44 (4). pp. 1467-1494. DOI https://doi.org/10.1214/15-AOS1419