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Large sample distribution of weighted sums of ARCH(p) squared residual correlations
Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 17 (2001) 2, pp. 283-295
Persistent link: https://www.econbiz.de/10001568398
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Asymptotics for GARCH squared residual correlations
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
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Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 565-586
Persistent link: https://www.econbiz.de/10001777182
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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
Aue, Alexander; Horváth, Lajos; Hušková, Marie; … - In: Econometric theory 25 (2009) 2, pp. 411-441
Persistent link: https://www.econbiz.de/10008211992
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A FUNCTIONAL VERSION OF THE ARCH MODEL
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron - In: Econometric theory 29 (2012) 2, pp. 267-288
Persistent link: https://www.econbiz.de/10010099082
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ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS
Horváth, Lajos; Horváth, Zsuzsanna; Zhou, Wang - In: Econometric theory 24 (2008) 6, pp. 1607-1627
Persistent link: https://www.econbiz.de/10008110449
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ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 565-586
Persistent link: https://www.econbiz.de/10006968112
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ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 515-540
Persistent link: https://www.econbiz.de/10006968114
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Articles - Large Sample Distribution of Weighted Sums of ARCH(p) Squared Residual Correlations
Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 17 (2001) 2, pp. 283-295
Persistent link: https://www.econbiz.de/10006979817
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SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
Aue, Alexander; Hörmann, Siegfried; Horváth, Lajos; … - In: Econometric theory 28 (2011) 4, pp. 804-838
Persistent link: https://www.econbiz.de/10009996876