Similar Search Results

Empirical process of the squared residuals of an ARCH sequence

Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999

Persistent link: https://www.econbiz.de/10001424868

Testing stationarity of functional time series

Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory - In: Journal of econometrics 179 (2014) 1, pp. 66-82

Persistent link: https://www.econbiz.de/10010258271

Testing for stochastic dominance using the weighted McFadden-type statistic

Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas - In: Journal of econometrics 133 (2006) 1, pp. 191-205

Persistent link: https://www.econbiz.de/10003354571

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

Empirical process of the squared residuals of an ARCH sequence

Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999

We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution 1,0 a Gaussirm process B(F(t)) +t f(t) e, where F is the distribution function of the squared innovations, f its derivative, {B(tl, 0 <; t>1} a Brownian bridge and e a normal random variable....</;>

Persistent link: https://www.econbiz.de/10009582420

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

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

Structural breaks in panel data : large number of panels and short length time series

Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - In: Econometric reviews 38 (2019) 7, pp. 828-855

Persistent link: https://www.econbiz.de/10012181361