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Asymptotic inference for unstable auto- regressive time series with drifts. Journal of Statistical Planning and Inference, 23 (3): 301--312 (November 1989)Order selection of continuous time models: Applications to estimation of risk premiums., , and . CIFEr, page 293-300. IEEE, (2003)On nonparametric local inference for density estimation., , and . Comput. Stat. Data Anal., 54 (2): 509-515 (2010)Efficient Estimation of Seasonal Long-Range-Dependent Processes, and . Journal of Time Series Analysis, 26 (6): 863--892 (305 11 2005)doi: 10.1111/j.1467-9892.2005.00447.x.Nonparametric testing for the specification of spatial trend functions., , and . J. Multivar. Anal., (2023)Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations, , , and . Journal of Econometrics, 137 (2): 556--576 (April 2007)Data Mining Meets Performance Evaluation: Fast Algorithms for Modeling Bursty Traffic., , , , and . ICDE, page 507-516. IEEE Computer Society, (2002)Advances in Econometrics, and . Volume 20, Part 2, chapter Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods, page 89--121. JAI, (2006)Structural model of credit migration., , and . Comput. Stat. Data Anal., 56 (11): 3477-3490 (2012)Priors for unit root models, , and . Journal of Econometrics, 75 (1): 99--111 (November 1996)