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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

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

Delay times of sequential procedures for multiple time series regression models

Aue, Alexander; Horváth, Lajos; Reimherr, Matthew L. - In: Journal of econometrics 149 (2009) 2, pp. 174-190

Persistent link: https://www.econbiz.de/10003833786

Sup-tests for linearity in a general nonlinear AR(1) model

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

Persistent link: https://www.econbiz.de/10003935353

Sup-tests for linearity in a general nonlinear AR(1) model

Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Econometric theory 26 (2010) 4, pp. 965-993

Persistent link: https://www.econbiz.de/10003993816

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 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

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

Segmenting mean-nonstationary time series via trending regressions

Aue, Alexander; Horváth, Lajos; Hušková, Marie - In: Journal of econometrics 168 (2012) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10009612717