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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

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Horváth, Lajos - 2019

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

Persistent link: https://www.econbiz.de/10012898573

A functional time series analysis of forward curves derived from commodity futures

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: International journal of forecasting 36 (2020) 2, pp. 646-665

Persistent link: https://www.econbiz.de/10012415316

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

Detecting common breaks in the means of high dimensional cross-dependent panels

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Zhao, Yuqian - In: The econometrics journal 25 (2022) 2, pp. 362-383

Persistent link: https://www.econbiz.de/10013253840

Empirical process of the squared residuals of an ARCH sequence

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

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

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

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

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

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