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Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
Horváth, Lajos; Hušková, Marie; Rice, Gregory; Wang, Jia - In: Econometric theory 33 (2017) 2, pp. 366-412
Persistent link: https://www.econbiz.de/10011665387
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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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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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MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES
Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan - In: Econometric theory 22 (2006) 3, pp. 373-402
Persistent link: https://www.econbiz.de/10006955207
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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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Monitoring constancy of variance in conditionally heteroskedastic time series
Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan - In: Econometric theory 22 (2006) 3, pp. 373-402
Persistent link: https://www.econbiz.de/10003307471