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Testing for independence between functional time series
Horváth, Lajos; Rice, Gregory - In: Journal of econometrics 189 (2015) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10011504560
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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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Sequential monitoring for changes from stationarity to mild non-stationarity
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of econometrics 215 (2020) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012439449
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A new class of change point test statistics of Rényi type
Horváth, Lajos; Miller, Curtis; Rice, Gregory - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 570-579
Persistent link: https://www.econbiz.de/10012262495
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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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Tests for error correlation in the functional linear model
Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr - In: Journal of the American Statistical Association : JASA 105 (2010) 491, pp. 1113-1125
Persistent link: https://www.econbiz.de/10008738525
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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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Impulse responses of fractionally integrated processes with long memory
Hassler, Uwe; Kokoszka, Piotr - In: Econometric theory 26 (2010) 6, pp. 1855-1861
Persistent link: https://www.econbiz.de/10008738316