Similar Search Results

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 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

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

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

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

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

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

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