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Testing stability in functional event observations with an application to IPO performance
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1262-1273
Persistent link: https://www.econbiz.de/10014448630
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Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; … - In: The econometrics journal 20 (2017) 1, pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
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Forecasting value at risk with intra-day return curves
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
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Detection and estimation of changes in ARCH processes
Kokoszka, Piotr; Leipus, Remigijus - In: Measuring risk in complex stochastic systems, (pp. 149-160). 2000
Persistent link: https://www.econbiz.de/10001579730
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Functional dynamic factor model for intraday price curves
Kokoszka, Piotr; Miao, Hong; Zhang, Xi - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 456-477
Persistent link: https://www.econbiz.de/10011339294
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - 2017
Persistent link: https://www.econbiz.de/10011653095
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Breaks in term structures : evidence from the oil futures markets
Horváth, Lajos; Liu, Zhenya; Miller, Curtis; Tang, Weiqing - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2317-2341
Persistent link: https://www.econbiz.de/10014533420
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A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin; Horváth, Lajos; Liu, Zhenya; Zhao, Yuqian - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 335-358
Persistent link: https://www.econbiz.de/10012232846
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Time-varying beta in functional factor models : evidence from China
Horváth, Lajos; Li, Bo; Li, Hemei; Liu, Zhenya - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012665458