Narrow search
Showing 1 - 10 of 18
Cover Image
Empirical process of the squared residuals of an ARCH sequence
Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999
Persistent link: https://www.econbiz.de/10001424868
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
Horváth, Lajos; Kokoszka, Piotr; Tessière, Gilles - 2003
Persistent link: https://www.econbiz.de/10001790731
Cover Image
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935355
Cover Image
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 9 (2011) 4, pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Cover Image
A functional version of the ARCH model
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron - In: Econometric theory 29 (2013) 2, pp. 267-288
Persistent link: https://www.econbiz.de/10009760010
Cover Image
Change-point monitoring in linear models
Aue, Alexander; Horváth, Lajos; Hušková, Marie; … - In: The econometrics journal 9 (2006) 3, pp. 373-403
Persistent link: https://www.econbiz.de/10003390158
Cover Image
Sample and implied volatility in GARCH models
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 617-635
Persistent link: https://www.econbiz.de/10003565751