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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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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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CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES
Berkes, István; Horváth, Lajos - In: Econometric theory 22 (2006) 2, pp. 304-322
Persistent link: https://www.econbiz.de/10006955252
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SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
Berkes, István; Gombay, Edit; Horváth, Lajos; … - In: Econometric theory 20 (2004) 6, pp. 1140-1167
Persistent link: https://www.econbiz.de/10006962805
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Convergence of integral functionals of stochastic processes
Berkes, István; Horváth, Lajos - In: Econometric theory 22 (2006) 2, pp. 304-322
Persistent link: https://www.econbiz.de/10003301252
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Sequential change-point detection in Garch (p,q) models
Berkes, István; Gombay, Edit; Horváth, Lajos; … - In: Econometric theory 20 (2004) 6, pp. 1140-1167
Persistent link: https://www.econbiz.de/10002424888
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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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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