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Asymptotic properties of nonparametric frontier estimators

Horváth, Lajos; Horváth, Zsuzsanna; Zhou, Wang - In: Econometric theory 24 (2008) 6, pp. 1607-1627

Persistent link: https://www.econbiz.de/10003771886

A limit theorem for mildly explosive autoregression with stable errors

Aue, Alexander; Horváth, Lajos - In: Econometric theory 23 (2007) 2, pp. 201-220

Persistent link: https://www.econbiz.de/10003429709

Merits and drawbacks of variance targeting in GARCH models

Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009

Persistent link: https://www.econbiz.de/10003935355

Merits and drawbacks of variance targeting in GARCH models

Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 9 (2011) 4, pp. 619-656

Persistent link: https://www.econbiz.de/10009407372

A functional version of the ARCH model

Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron - In: Econometric theory 29 (2013) 2, pp. 267-288

Persistent link: https://www.econbiz.de/10009760010

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

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

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

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

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