Lajos Horvath : Citation Profile


Are you Lajos Horvath?

11

H index

12

i10 index

449

Citations

RESEARCH PRODUCTION:

112

Articles

13

Papers

RESEARCH ACTIVITY:

   36 years (1983 - 2019). See details.
   Cites by year: 12
   Journals where Lajos Horvath has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 39 (7.99 %)

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   Permalink: http://citec.repec.org/pho286
   Updated: 2019-09-14    RAS profile: 2019-04-18    
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Relations with other researchers


Works with:

Wang, Shixuan (2)

Francq, Christian (2)

Hurvich, Clifford (2)

Zakoian, Jean-Michel (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lajos Horvath.

Is cited by:

Pouliot, William (13)

Gallo, Giampiero (11)

Wied, Dominik (10)

Francq, Christian (10)

Andreou, Elena (9)

Engle, Robert (8)

Ghysels, Eric (8)

Whang, Yoon-Jae (8)

LINTON, OLIVER (8)

Shang, Han Lin (7)

Olmo, Jose (7)

Cites to:

Andrews, Donald (23)

Phillips, Peter (18)

Bai, Jushan (17)

Perron, Pierre (16)

Hansen, Bruce (11)

Taylor, Robert (11)

Engle, Robert (10)

Ling, Shiqing (9)

Ghysels, Eric (8)

Wied, Dominik (8)

hsiao, cheng (8)

Main data


Where Lajos Horvath has published?


Journals with more than one article published# docs
Statistics & Probability Letters25
Journal of Multivariate Analysis20
Stochastic Processes and their Applications17
Journal of Time Series Analysis8
Econometric Theory7
Journal of Econometrics7
Statistics & Risk Modeling5
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research4
Journal of Financial Econometrics3
Annals of the Institute of Statistical Mathematics3
Journal of the Royal Statistical Society Series B2
Energy2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany5
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Lajos Horvath (2019 and 2018)


YearTitle of citing document
2017Structural Change in (Economic) Time Series. (2017). Kleiber, Christian. In: Papers. RePEc:arx:papers:1702.06913.

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2018Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2018Cointegration in functional autoregressive processes. (2018). Paruolo, Paolo ; Franchi, Massimo. In: Papers. RePEc:arx:papers:1712.07522.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2018A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2018Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Adaptive inference for a semiparametric GARCH model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2017Detection of change in the spatiotemporal mean function. (2017). Gromenko, Oleksandr ; Reimherr, Matthew ; Kokoszka, Piotr. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:29-50.

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2017A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:591-609.

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2017Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790.

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2017Monitoring Parameter Constancy with Endogenous Regressors. (2017). Perron, Pierre ; Kurozumi, Eiji ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:791-805.

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2017Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points. (2017). Albert, Stefan ; Schneider, Gaby ; Roeper, Jochen ; Schiemann, Julia ; Messer, Michael. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1028-1052.

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2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis. (2017). Wied, Dominik ; Wagner, Martin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:960-980.

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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

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2017Tests for Structural Changes in Time Series of Counts. (2017). Hudecova, arka ; Meintanis, Simos G ; Hukova, Marie. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:843-865.

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2017Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price. (2017). Piotr, Kokoszka ; Ben, Zheng ; Hong, Miao . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:33-53:n:5.

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2018Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2018Parameter change tests for ARMA–GARCH models. (2018). Song, Junmo ; Kang, Jiwon. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:41-56.

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2018Testing the equality of several covariance functions for functional data: A supremum-norm based test. (2018). Guo, Jia ; Zhang, Jin-Ting ; Zhou, BU. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:15-26.

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2019Robust depth-based estimation of the functional autoregressive model. (2019). Martinez-Hernandez, Israel ; Gonzalez-Farias, Graciela ; Genton, Marc G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:66-79.

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2019A new test for functional one-way ANOVA with applications to ischemic heart screening. (2019). Zhou, BU ; Wu, Hau-Tieng ; Cheng, Ming-Yen ; Zhang, Jin-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:132:y:2019:i:c:p:3-17.

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2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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2019Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics. (2019). Li, Huini ; Xu, Qiongyao ; Chen, Zhanshou . In: Economics Letters. RePEc:eee:ecolet:v:179:y:2019:i:c:p:53-56.

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2017Testing for central dominance: Method and application. (2017). Kuan, Chung-Ming ; Tzeng, Larry Y ; Chuang, O-Chia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:368-378.

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2017Testing for prospect and Markowitz stochastic dominance efficiency. (2017). Topaloglou, Nikolas ; Arvanitis, Stelios. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:253-270.

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2019Quantile regression for duration models with time-varying regressors. (2019). Chen, Songnian. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:1-17.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019Functional GARCH models: The quasi-likelihood approach and its applications. (2019). Zakoian, Jean-Michel ; Hormann, Siegfried ; Francq, Christian ; Cerovecki, Clement. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:353-375.

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2017Change point and trend analyses of annual expectile curves of tropical storms. (2017). Xiong, Q ; Burdejova, P ; Kokoszka, P ; Hardle, W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:101-117.

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2017Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149.

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2017Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (2017). Wong, Wing-Keung ; Xiao, Zhijie. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Mean vector testing for high-dimensional dependent observations. (2017). Ayyala, Deepak Nag ; Roy, Anindya ; Park, Junyong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:136-155.

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2017On the CLT for discrete Fourier transforms of functional time series. (2017). Cerovecki, Clement ; Hormann, Siegfried. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:282-295.

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2017Monitoring multivariate time series. (2017). Hoga, Yannick. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:105-121.

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2018Hotelling’s T2 in separable Hilbert spaces. (2018). Pini, Alessia ; Vantini, Simone ; Stamm, Aymeric. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:284-305.

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2019A tail adaptive approach for change point detection. (2019). Liu, Bin ; Zhang, Xinsheng ; Zhou, Cheng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:33-48.

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2019The spatial sign covariance operator: Asymptotic results and applications. (2019). Sued, Mariela ; Rodriguez, Daniel A ; Boente, Graciela. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:115-128.

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2019Asymptotics, finite-sample comparisons and applications for two-sample tests with functional data. (2019). Zhu, Lixing ; Meintanis, Simos G ; Hukova, Marie ; Jiang, Qing . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:202-220.

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2019High-dimensional functional time series forecasting: An application to age-specific mortality rates. (2019). Shang, Han Lin ; Yang, Yanrong ; Gao, Yuan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:232-243.

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2019Recent advances in functional data analysis and high-dimensional statistics. (2019). Vieu, Philippe ; Genest, Christian ; Fraiman, Ricardo ; Cao, Ricardo ; Aneiros, German. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:3-9.

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2019Inference for sparse and dense functional data with covariate adjustments. (2019). Liebl, Dominik. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:315-335.

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2018Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes. (2018). Hoffmann, Michael ; Dette, Holger ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3679-3723.

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2017Exact tests for the means of Gaussian stochastic processes. (2017). Ghiglietti, Andrea ; Paganoni, Anna Maria. In: Statistics & Probability Letters. RePEc:eee:stapro:v:131:y:2017:i:c:p:102-107.

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2018Glivenko–Cantelli Theorem for the kernel error distribution estimator in the first-order autoregressive model. (2018). Cheng, Fuxia. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:95-102.

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2017Causes and timing of the European debt crisis: An econometric evaluation. (2017). Purificato, Francesco ; Papagni, Erasmo ; Suarez, Marta Vazquez ; Panico, Carlo ; Filoso, Valerio. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2017_03.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, L ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

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2018A BAYESIAN INFERENCE OF MULTIPLE STRUCTURAL BREAKS IN MEAN AND ERROR VARIANCE IN PANEL AR (1) MODEL. (2018). Kumar, Jitendra ; Shangodoyin, Dahud Kehinde ; Agiwal, Varun. In: Statistics in Transition New Series. RePEc:exl:29stat:v:19:y:2018:i:1:p:7-23.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2018A Novel Hybrid Algorithm to Forecast Functional Time Series Based on Pattern Sequence Similarity with Application to Electricity Demand. (2018). Martinez-Alvarez, Francisco ; Jacques, Julien ; Asencio-Cortes, Gualberto ; Schmutz, Amandine. In: Energies. RePEc:gam:jeners:v:12:y:2018:i:1:p:94-:d:193747.

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2017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

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2019Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes. (2019). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02176276.

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2017Are the temperature of Indian cities Increasing?: Some Insights Using Change Point Analysis with Functional Data. (2017). Laha, A K ; Rathi, Poonam . In: IIMA Working Papers. RePEc:iim:iimawp:14577.

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2018Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions. (2018). Spagnolo, Nicola ; Zhao, Yuqian ; Barassi, Marco R. In: Environmental & Resource Economics. RePEc:kap:enreec:v:71:y:2018:i:4:d:10.1007_s10640-017-0190-z.

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2019A Structural Break Cartel Screen for Dating and Detecting Collusion. (2019). Crede, Carsten J. In: Review of Industrial Organization. RePEc:kap:revind:v:54:y:2019:i:3:d:10.1007_s11151-018-9649-5.

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2017Bayesian Assessment of Lorenz and Stochastic Dominance. (2017). Lander, David ; Chotikapanich, Duangkamon ; Griffiths, William ; Gunawan, David. In: Department of Economics - Working Papers Series. RePEc:mlb:wpaper:2029.

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2017Bayesian assessment of Lorenz and stochastic dominance. (2017). Lander, David ; Chotikapanich, Duangkamon ; Griffiths, William ; Gunawan, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-15.

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2018Testing for strict stationarity in a random coefficient autoregressive model. (2002). Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/02.

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2017Stagnation of productivity in France: A legacy of the crisis or a structural slowdown?. (2017). Lecat, Remy ; Cette, Gilbert ; Corde, Simon. In: Economie et Statistique / Economics and Statistics. RePEc:nse:ecosta:ecostat_2017_494-495-496_2.

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2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation. (2018). Francq, Christian ; Sucarrat, Genaro. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:129-154..

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2017Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510.

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2018Functional GARCH models: the quasi-likelihood approach and its applications. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Hormann, Siegfried ; Cerovecki, Clement . In: MPRA Paper. RePEc:pra:mprapa:83990.

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2019Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models. (2019). Rice, Gregory ; Zhao, Yuqian ; Wirjanto, Tony. In: MPRA Paper. RePEc:pra:mprapa:93048.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:201966.

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2019Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize. (2019). Hanousek, Jan ; Trel, Jii ; Hukova, Marie ; Antoch, Jaromir. In: Politická ekonomie. RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1233:p:3-19.

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2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo ; Phillips, Peter. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2017_018.

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2017Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20175.

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2018A more powerful test identifying the change in mean of functional data. (2018). Banerjee, Buddhananda ; Mazumder, Satyaki . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:3:d:10.1007_s10463-017-0606-0.

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2018Testing equality between several populations covariance operators. (2018). Boente, Graciela ; Sued, Mariela ; Rodriguez, Daniel A. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:4:d:10.1007_s10463-017-0613-1.

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2019Detecting structural changes in large portfolios. (2019). Posch, Peter N ; Wied, Dominik ; Ullmann, Daniel. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1392-5.

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2018Change-Point Estimation in the Multivariate Model Taking into Account the Dependence: Application to the Vegetative Development of Oilseed Rape. (2018). Brault, V ; Jullien, A ; Mathieu, A ; Levy-Leduc, C. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:23:y:2018:i:3:d:10.1007_s13253-018-0324-y.

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2017Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels. (2017). Hwang, Eunju ; Shin, Dong Wan. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:6:d:10.1007_s00184-017-0627-y.

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2018The multiple filter test for change point detection in time series. (2018). Messer, Michael ; Schneider, Gaby ; Albert, Stefan. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0672-1.

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2017The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points. (2017). Messer, Michael ; Schneider, Gaby. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9138-0.

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2018On score vector- and residual-based CUSUM tests in ARMA–GARCH models. (2018). Oh, Haejune ; Lee, Sangyeol. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0408-9.

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2017Dating multiple change points in the correlation matrix. (2017). Wied, Dominik ; Galeano, Pedro . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2017Quadratic forms of the empirical processes for the two-sample problem for functional data. (2017). Barcenas, R ; Quiroz, A J ; Ortega, J. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:3:d:10.1007_s11749-017-0522-x.

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2018Goodness-of-fit tests for Log-GARCH and EGARCH models. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Wintenberger, Olivier. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2.

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2018Strong approximations for the p-fold integrated empirical process with applications to statistical tests. (2018). Alvarez-Andrade, Sergio ; Lachal, Aime ; Bouzebda, Salim. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:4:d:10.1007_s11749-017-0572-0.

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2019Asymptotic Theory for Rotated Multivariate GARCH Models. (2019). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Working Papers. RePEc:syb:wpbsba:2123/20178.

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2019An Improved Bootstrap Test For Restricted Stochastic Dominance. (2018). Tabri, Rami ; Lok, Thomas M.. In: Working Papers. RePEc:syd:wpaper:2015-15.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Pauwels, Laurent ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1827.

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2017Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi. In: EconStor Preprints. RePEc:zbw:esprep:167626.

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2018Networks in risk spillovers: A multivariate GARCH perspective. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Frattarolo, Lorenzo. In: SAFE Working Paper Series. RePEc:zbw:safewp:225.

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Works by Lajos Horvath:


YearTitleTypeCited
2014Inference for Functional Data with Applications by Lajos Horváth and Piotr Kokoszka In: International Statistical Review.
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2009Detecting changes in the mean of functional observations In: Journal of the Royal Statistical Society Series B.
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2013Estimation of the mean of functional time series and a two-sample problem In: Journal of the Royal Statistical Society Series B.
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2006Estimation in Random Coefficient Autoregressive Models In: Journal of Time Series Analysis.
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2009Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis.
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2011Testing for structural change of AR model to threshold AR model In: Journal of Time Series Analysis.
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2012Change-point detection in panel data In: Journal of Time Series Analysis.
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2013Structural breaks in time series In: Journal of Time Series Analysis.
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2015TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES In: Journal of Time Series Analysis.
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2017Functional Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Time Series Analysis.
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2015Functional generalized autoregressive conditional heteroskedasticity.(2015) In: MPRA Paper.
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2017Detecting at-Most-m Changes in Linear Regression Models In: Journal of Time Series Analysis.
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2013Testing the Equality of Covariance Operators in Functional Samples In: Scandinavian Journal of Statistics.
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1996ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES In: Statistics & Risk Modeling.
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1997INTEGRAL TESTS FOR SUPREMA OF KIEFER PROCESSES WITH APPLICATION In: Statistics & Risk Modeling.
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1985ESTIMATION FROM A LENGTH-BIASED DISTRIBUTION In: Statistics & Risk Modeling.
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1988CONVERGENCE OF THE EMPIRICAL AND QUANTILE DISTRIBUTIONS TO POISSON MEASURES In: Statistics & Risk Modeling.
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1991TESTS OF FIT FOR COMPOSITE HYPOTHESES WITH CENSORED DATA In: Statistics & Risk Modeling.
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2003Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals In: CORE Discussion Papers.
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2017Structural breaks in panel data: Large number of panels and short length time series In: CEPR Discussion Papers.
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2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
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2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
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2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
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2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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2008ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS In: Econometric Theory.
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2009ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES In: Econometric Theory.
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2012SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS In: Econometric Theory.
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2013A FUNCTIONAL VERSION OF THE ARCH MODEL In: Econometric Theory.
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2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
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2014Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print.
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2017ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS In: Econometric Theory.
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2006Change-point monitoring in linear models In: Econometrics Journal.
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2016Adaptive bandwidth selection in the long run covariance estimator of functional time series In: Computational Statistics & Data Analysis.
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1988Asymptotics for Lp-norms of kernel estimators of densities In: Computational Statistics & Data Analysis.
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2006Testing for stochastic dominance using the weighted McFadden-type statistic In: Journal of Econometrics.
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2009Delay times of sequential procedures for multiple time series regression models In: Journal of Econometrics.
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2012Segmenting mean-nonstationary time series via trending regressions In: Journal of Econometrics.
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2014Testing stationarity of functional time series In: Journal of Econometrics.
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2015Testing for independence between functional time series In: Journal of Econometrics.
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2016Statistical inference in a random coefficient panel model In: Journal of Econometrics.
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2019Testing for randomness in a random coefficient autoregression model In: Journal of Econometrics.
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2018Testing for randomness in a random coefficient autoregression model.(2018) In: Discussion Papers.
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2018Change point detection in heteroscedastic time series In: Econometrics and Statistics.
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1996An energy saving atmospheric evaporator utilizing low grade thermal or waste energy In: Energy.
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1997The use of a thermal energy recycle unit in conjunction with a basin-type solar still for enhanced productivity In: Energy.
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1986Estimates for the probability of ruin starting with a large initial reserve In: Insurance: Mathematics and Economics.
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2009Estimation of a change-point in the mean function of functional data In: Journal of Multivariate Analysis.
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2010Testing the stability of the functional autoregressive process In: Journal of Multivariate Analysis.
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2012Detecting changes in functional linear models In: Journal of Multivariate Analysis.
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2013Test of independence for functional data In: Journal of Multivariate Analysis.
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2013Change-point detection in multinomial data using phi-divergence test statistics In: Journal of Multivariate Analysis.
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2014Functional data analysis with increasing number of projections In: Journal of Multivariate Analysis.
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1983The rate of strong uniform consistency for the multivariate product-limit estimator In: Journal of Multivariate Analysis.
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2016On the asymptotic normality of kernel estimators of the long run covariance of functional time series In: Journal of Multivariate Analysis.
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2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models In: Journal of Multivariate Analysis.
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1985Strong approximations of the quantile process of the product-limit estimator In: Journal of Multivariate Analysis.
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1987Approximation of intermediate quantile processes In: Journal of Multivariate Analysis.
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1988Asymptotics of conditional empirical processes In: Journal of Multivariate Analysis.
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1988Invariance principles for changepoint problems In: Journal of Multivariate Analysis.
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1989The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability In: Journal of Multivariate Analysis.
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1991On the asymptotic distributions of weighted uniform multivariate empirical processes In: Journal of Multivariate Analysis.
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1992Rényi-type empirical processes In: Journal of Multivariate Analysis.
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1994Limit theorems for change in linear regression In: Journal of Multivariate Analysis.
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1996On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models In: Journal of Multivariate Analysis.
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1999Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes In: Journal of Multivariate Analysis.
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2001Change-Point Detection in Long-Memory Processes In: Journal of Multivariate Analysis.
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2003Limit results for the empirical process of squared residuals in GARCH models In: Stochastic Processes and their Applications.
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2007Limit theorems for permutations of empirical processes with applications to change point analysis In: Stochastic Processes and their Applications.
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article2
2012The central limit theorem for sums of trimmed variables with heavy tails In: Stochastic Processes and their Applications.
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article0
2013Weak invariance principles for sums of dependent random functions In: Stochastic Processes and their Applications.
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article4
1984Strong approximation of renewal processes In: Stochastic Processes and their Applications.
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article2
1987Stability and instability of local time of random walk in random environment In: Stochastic Processes and their Applications.
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1987On the tail behaviour of quantile processes In: Stochastic Processes and their Applications.
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1988A note on strong approximations of multivariate empirical processes In: Stochastic Processes and their Applications.
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1991Rate of convergence in limit theorems for Brownian excursions In: Stochastic Processes and their Applications.
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1991Short distances on the line In: Stochastic Processes and their Applications.
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1993Change in autoregressive processes In: Stochastic Processes and their Applications.
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1993Convergence of integrals of uniform empirical and quantile processes In: Stochastic Processes and their Applications.
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1994An application of the maximum likelihood test to the change-point problem In: Stochastic Processes and their Applications.
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1995Weight functions and pathwise local central limit theorems In: Stochastic Processes and their Applications.
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1996Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence In: Stochastic Processes and their Applications.
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1998Logarithmic averages of stable random variables are asymptotically normal In: Stochastic Processes and their Applications.
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2001The logarithmic average of sample extremes is asymptotically normal In: Stochastic Processes and their Applications.
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1992A goodness-of-fit test for exponential families In: Statistics & Probability Letters.
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1994A note on dichotomy theorems for integrals of stable processes In: Statistics & Probability Letters.
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1996A note on the change-point problem for angular data In: Statistics & Probability Letters.
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1984Strong approximation of certain stopped sums In: Statistics & Probability Letters.
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1996Between local and global logarithmic averages In: Statistics & Probability Letters.
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1998Almost sure central limit theorems under minimal conditions In: Statistics & Probability Letters.
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1985Approximation for Abel sums of independent, identically distributed random variables In: Statistics & Probability Letters.
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1999On the best approximation for bootstrapped empirical processes In: Statistics & Probability Letters.
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1999Limit theorems for short distances in In: Statistics & Probability Letters.
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2000Approximations for weighted bootstrap processes with an application In: Statistics & Probability Letters.
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1986Estimation of influence functions In: Statistics & Probability Letters.
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1986How large must be the difference between local time and mesure du voisinage of Brownian motion? In: Statistics & Probability Letters.
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1986Approximations of weighted empirical and quantile processes In: Statistics & Probability Letters.
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2001On the estimation of spread rate for a biological population In: Statistics & Probability Letters.
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2003The rate of consistency of the quasi-maximum likelihood estimator In: Statistics & Probability Letters.
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2003A bootstrap approximation to a unit root test statistic for heavy-tailed observations In: Statistics & Probability Letters.
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2003Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models In: Statistics & Probability Letters.
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2004Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models.(2004) In: Statistics & Probability Letters.
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2004Delay time in sequential detection of change In: Statistics & Probability Letters.
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2004Testing for parameter constancy in GARCH(p,q) models In: Statistics & Probability Letters.
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2007Rescaled range analysis in the presence of stochastic trend In: Statistics & Probability Letters.
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2007On sequential detection of parameter changes in linear regression In: Statistics & Probability Letters.
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2008The functional central limit theorem for a family of GARCH observations with applications In: Statistics & Probability Letters.
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2014On the central limit theorem for modulus trimmed sums In: Statistics & Probability Letters.
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1989On best possible approximations of local time In: Statistics & Probability Letters.
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1999Empirical Process of the Squared Residuals of an ARCH Sequence. In: G.R.E.Q.A.M..
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1999Empirical process of the squared residuals of an ARCH sequence.(1999) In: SFB 373 Discussion Papers.
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1992Strong Approximations of Open Queueing Networks In: Mathematics of Operations Research.
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2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
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2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
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2006Sample and Implied Volatility in GARCH Models In: Journal of Financial Econometrics.
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2008Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper.
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2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models In: MPRA Paper.
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1990Confidence bands for quantile function under random censorship In: Annals of the Institute of Statistical Mathematics.
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1997Detection of Changes in Linear Sequences In: Annals of the Institute of Statistical Mathematics.
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2001Change-Point Detection in Angular Data In: Annals of the Institute of Statistical Mathematics.
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2008Monitoring shifts in mean: Asymptotic normality of stopping times In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2009Effect of aggregation on estimators in AR(1) sequence In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2014Extensions of some classical methods in change point analysis In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2014Rejoinder on: Extensions of some classical methods in change point analysis In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2017Change point tests in functional factor models with application to yield curves In: Econometrics Journal.
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