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SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
Berkes, István; Gombay, Edit; Horváth, Lajos; … - In: Econometric theory 20 (2004) 6, pp. 1140-1167
Persistent link: https://www.econbiz.de/10006962805
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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
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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
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Convergence of integral functionals of stochastic processes
Berkes, István; Horváth, Lajos - In: Econometric theory 22 (2006) 2, pp. 304-322
Persistent link: https://www.econbiz.de/10003301252
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Non-central limit theorems for random selections
Berkes, István; Horváth, Lajos; Schauer, Johannes - In: Probability theory and related fields 147 (2010) 3/4, pp. 449-479
Persistent link: https://www.econbiz.de/10003966132
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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/10006968112
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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/10006968114
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Detecting changes in the mean of functional observations
Berkes, István; Gabrys, Robertas; Horváth, Lajos; … - In: Journal of the Royal Statistical Society Series B 71 (2009) 5, pp. 927-946
Principal component analysis has become a fundamental tool of functional data analysis. It represents the functional data as "X"<sub>"i"</sub>("t")&equals;"μ"("t")&plus;Σ<sub>1≤"l"&infin ;</sub>"η"<sub>"i", "l"</sub>&plus; "v"<sub>"l"</sub>("t "), where "μ" is the common mean, "v"<sub>"l"</sub> are the eigenfunctions of the covariance operator and the...</sub>
Persistent link: https://www.econbiz.de/10008479741
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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
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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/10003307471