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MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES

Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan - In: Econometric theory 22 (2006) 3, pp. 373-402

Persistent link: https://www.econbiz.de/10006955207

Monitoring constancy of variance in conditionally heteroskedastic time series

Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan - In: Econometric theory 22 (2006) 3, pp. 373-402

Persistent link: https://www.econbiz.de/10003307471

ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS

Berkes, Istv n; Horv th, Lajos; Kokoszka, Piotr - In: Econometric Theory 19 (2003) 04, pp. 515-540

Persistent link: https://www.econbiz.de/10005411697

LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS

Horv th, Lajos; Kokoszka, Piotr - In: Econometric Theory 17 (2001) 02, pp. 283-295

Persistent link: https://www.econbiz.de/10005411767

SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

Berkes, Istv n; Gombay, Edit; Horv th, Lajos; Kokoszka, … - In: Econometric Theory 20 (2004) 06, pp. 1140-1167

Persistent link: https://www.econbiz.de/10005610587

ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE

Berkes, Istv n; Horv th, Lajos; Kokoszka, Piotr - In: Econometric Theory 19 (2003) 04, pp. 565-586

Persistent link: https://www.econbiz.de/10005250171

CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES

Berkes, Istv n; Horv th, Lajos - In: Econometric Theory 22 (2006) 02, pp. 304-322

Persistent link: https://www.econbiz.de/10005411686

A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS

Aue, Alexander; Horv th, Lajos - In: Econometric Theory 23 (2007) 02, pp. 201-220

Persistent link: https://www.econbiz.de/10005411870

TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS

Horv th, Lajos; Zitikis, Ricardas - In: Econometric Theory 22 (2006) 03, pp. 457-482

Persistent link: https://www.econbiz.de/10005610429

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

Persistent link: https://www.econbiz.de/10010310015