17
H index
41
i10 index
1070
Citations
| 17 H index 41 i10 index 1070 Citations RESEARCH PRODUCTION: 138 Articles 20 Papers RESEARCH ACTIVITY: 39 years (1983 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pho286 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lajos Horvath. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 7 |
MPRA Paper / University Library of Munich, Germany | 5 |
Working Papers / Center for Research in Economics and Statistics | 2 |
Year | Title of citing document |
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2023 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper |
2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper |
2023 | Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781. Full description at Econpapers || Download paper |
2023 | Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073. Full description at Econpapers || Download paper |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
2023 | Conformal Prediction Bands for Two-Dimensional Functional Time Series. (2022). Vantini, Simone ; Fontana, Matteo ; Diquigiovanni, Jacopo ; Ajroldi, Niccolo. In: Papers. RePEc:arx:papers:2207.13656. Full description at Econpapers || Download paper |
2023 | Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. (2022). Westerlund, Joakim ; Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2211.06707. Full description at Econpapers || Download paper |
2023 | Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853. Full description at Econpapers || Download paper |
2023 | An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855. Full description at Econpapers || Download paper |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper |
2023 | Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463. Full description at Econpapers || Download paper |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper |
2023 | On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2310.04853. Full description at Econpapers || Download paper |
2023 | Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
2023 | Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending. (2023). Westerlund, Joakim ; Karavias, Yiannis. In: Discussion Papers. RePEc:bir:birmec:23-02. Full description at Econpapers || Download paper |
2023 | Are You All Normal? It Depends!. (2023). Genton, Marc G ; Chen, Wanfang. In: International Statistical Review. RePEc:bla:istatr:v:91:y:2023:i:1:p:114-139. Full description at Econpapers || Download paper |
2023 | Tempered functional time series. (2023). Kokoszka, Piotr ; Sabzikar, Farzad. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:3:p:280-293. Full description at Econpapers || Download paper |
2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper |
2023 | Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. (2023). Westerlund, Joakim ; Karavias, Yiannis. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps99. Full description at Econpapers || Download paper |
2023 | On the growth rate of superadditive processes and the stability of functional GARCH models. (2023). Kandji, Baye Matar. In: Working Papers. RePEc:crs:wpaper:2023-07. Full description at Econpapers || Download paper |
2023 | Robust multiscale estimation of time-average variance for time series segmentation. (2023). Cho, Haeran ; McGonigle, Euan T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002286. Full description at Econpapers || Download paper |
2023 | Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166. Full description at Econpapers || Download paper |
2023 | Conformal prediction bands for two-dimensional functional time series. (2023). Vantini, Simone ; Fontana, Matteo ; Diquigiovanni, Jacopo ; Ajroldi, Niccolo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s0167947323001329. Full description at Econpapers || Download paper |
2023 | How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923. Full description at Econpapers || Download paper |
2023 | Structural break in different stock index markets in China. (2023). Diao, Xundi ; Li, Boyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000050. Full description at Econpapers || Download paper |
2023 | Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:1-17. Full description at Econpapers || Download paper |
2023 | Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204. Full description at Econpapers || Download paper |
2023 | Testing stochastic dominance with many conditioning variables. (2023). Whang, Yoon-Jae ; Seo, Myung Hwan ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:507-527. Full description at Econpapers || Download paper |
2023 | Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38. Full description at Econpapers || Download paper |
2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper |
2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper |
2023 | Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431. Full description at Econpapers || Download paper |
2023 | Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147. Full description at Econpapers || Download paper |
2023 | Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles. (2023). Potrykus, Marcin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001539. Full description at Econpapers || Download paper |
2023 | Robust inference for change points in high dimension. (2023). Shao, Xiaofeng ; Wang, Runmin ; Jiang, Feiyu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001051. Full description at Econpapers || Download paper |
2023 | Nonparametric testing for the specification of spatial trend functions. (2023). Chan, Ngai Hang ; Zhang, Rongmao ; Chi, Changxiong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x2300026x. Full description at Econpapers || Download paper |
2023 | Testing for changes in linear models using weighted residuals. (2023). Zhao, Yuqian ; Rice, Gregory ; Horvath, Lajos. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x23000568. Full description at Econpapers || Download paper |
2023 | Revisiting the momentum effect in Taiwan: The role of persistency. (2023). Lee, Cheng-Few ; Hsieh, Chia-Hsun ; Chen, Hong-Yi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000094. Full description at Econpapers || Download paper |
2023 | Asymptotic properties of semiparametric M-estimators with multiple change points. (2023). Ferfache, Anouar Abdeldjaoued ; Bouzebda, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122009219. Full description at Econpapers || Download paper |
2023 | The evolvement of momentum effects in China: Evidence from functional data analysis. (2023). Wang, Shixuan ; Teka, Hanen ; Liu, Zhenya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002197. Full description at Econpapers || Download paper |
2023 | Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm. (2023). Fryzlewicz, Piotr ; Cho, Haeran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120085. Full description at Econpapers || Download paper |
2023 | A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling. (2023). Resta, Marina ; Castello, Oleksandr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4746-:d:1172227. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
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2023 | Change-point estimators with the weighted objective function when estimating breaks one at a time. (2023). 黒住, 英司, ; Kurozumi, Eiji ; 田柳, 俊和, ; Tayanagi, Toshikazu. In: Discussion Papers. RePEc:hit:econdp:2023-04. Full description at Econpapers || Download paper |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
2023 | Informal employment from migration shocks. (2023). Valente, Marica ; Trapani, Lorenzo ; Gries, Timm. In: Working Papers. RePEc:inn:wpaper:2023-09. Full description at Econpapers || Download paper |
2023 | Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China. (2023). Yao, Yao ; Louhichi, Wael ; Liu, Zhenya ; Boubaker, Sabri. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10265-3. Full description at Econpapers || Download paper |
2023 | Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors. (2023). Kapetanios, George ; Marcellino, Massimiliano ; Bai, YU. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-13. Full description at Econpapers || Download paper |
2023 | Least absolute deviation estimation for AR(1) processes with roots close to unity. (2023). Yang, Guangyu ; Sang, Hailin ; Ma, Nannan. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00864-0. Full description at Econpapers || Download paper |
2023 | Spatial correlation in weather forecast accuracy: a functional time series approach. (2023). Matteson, David S ; Jang, Phillip A. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:3:d:10.1007_s00180-023-01338-4. Full description at Econpapers || Download paper |
2023 | Asynchronous Changepoint Estimation for Spatially Correlated Functional Time Series. (2023). Li, BO ; Harris, Trevor ; Wang, Mengchen. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:28:y:2023:i:1:d:10.1007_s13253-022-00519-w. Full description at Econpapers || Download paper |
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2023 | Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models. (2023). Wang, Xuejun ; Yu, Wei ; Yao, Chi. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-022-09975-w. Full description at Econpapers || Download paper |
2023 | Asymptotic Properties of the M-estimation for an AR(1) Process with a General Autoregressive Coefficient. (2023). Xu, Qifa ; Han, Ruidong ; Geng, Wenjing ; Wang, Xinghui. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10005-6. Full description at Econpapers || Download paper |
2023 | A new estimation in functional linear concurrent model with covariate dependent and noise contamination. (2023). Zhang, Riquan ; Yao, Mei ; Ding, Hui. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00900-w. Full description at Econpapers || Download paper |
2023 | The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models. (2023). Salhi, Imane ; Benmoumen, Mohammed. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:85:y:2023:i:1:d:10.1007_s13171-021-00269-w. Full description at Econpapers || Download paper |
2023 | Wavelet eigenvalue regression in high dimensions. (2023). Wendt, Herwig ; Didier, Gustavo ; Boniece, Cooper B ; Abry, Patrice. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09279-3. Full description at Econpapers || Download paper |
2023 | A portmanteau-type test for detecting serial correlation in locally stationary functional time series. (2023). Heinrichs, Florian ; Dette, Holger ; Bucher, Axel. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09285-5. Full description at Econpapers || Download paper |
2023 | Consistency and asymptotic normality in a class of nearly unstable processes. (2023). Proia, Frederic ; Badreau, Marie. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:3:d:10.1007_s11203-023-09290-2. Full description at Econpapers || Download paper |
2023 | Should We Continue EU Cohesion Policy? The Dilemma of Uneven Development of Polish Regions. (2023). Snarska, Magorzata ; Jagodka, Maciej. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:165:y:2023:i:3:d:10.1007_s11205-022-03048-8. Full description at Econpapers || Download paper |
2023 | A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5. (2023). Cheng, Jianhua ; Wang, Dehui. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:2:d:10.1007_s10260-022-00671-0. Full description at Econpapers || Download paper |
2023 | A weighted U-statistic based change point test for multivariate time series. (2023). Wang, Lihong ; Hu, Junwei. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:3:d:10.1007_s00362-022-01341-9. Full description at Econpapers || Download paper |
2023 | Multipartition model for multiple change point identification. (2023). Quintana, Fernando Andres ; Loschi, Rosangela H ; Pedroso, Ricardo C. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:2:d:10.1007_s11749-023-00851-4. Full description at Econpapers || Download paper |
2023 | Nonlinear prediction of functional time series. (2023). Cao, Jiguo ; Wang, Haixu. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:5:n:e2792. Full description at Econpapers || Download paper |
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2023 | Forecasting intraday financial time series with sieve bootstrapping and dynamic updating. (2023). Shang, Han Lin ; Ji, Kaiying. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:1973-1988. Full description at Econpapers || Download paper |
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Year | Title | Type | Cited |
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2021 | Changepoint detection in random coefficient autoregressive models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Inference for Functional Data with Applications by Lajos Horváth and Piotr Kokoszka In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
2020 | Tests of Normality of Functional Data In: International Statistical Review. [Full Text][Citation analysis] | article | 2 |
2009 | Detecting changes in the mean of functional observations In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 26 |
2013 | Estimation of the mean of functional time series and a two-sample problem In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 34 |
2006 | Estimation in Random Coefficient Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 21 |
2009 | Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
2011 | Testing for structural change of AR model to threshold AR model In: Journal of Time Series Analysis. [Citation analysis] | article | 2 |
2012 | Change-point detection in panel data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
2013 | Structural breaks in time series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 83 |
2015 | TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 8 |
2017 | Functional Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 16 |
2015 | Functional generalized autoregressive conditional heteroskedasticity.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2017 | Detecting at-Most-m Changes in Linear Regression Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
2022 | Inference in functional factor models with applications to yield curves In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2013 | Testing the Equality of Covariance Operators in Functional Samples In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 19 |
2021 | 4th Workshop on Goodness?of?Fit, Change?Point, and Related Problems, Trento, 2019 In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | Detecting early or late changes in linear models with heteroscedastic errors In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
1996 | ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 11 |
1997 | INTEGRAL TESTS FOR SUPREMA OF KIEFER PROCESSES WITH APPLICATION In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 1 |
1985 | ESTIMATION FROM A LENGTH-BIASED DISTRIBUTION In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 1 |
1988 | CONVERGENCE OF THE EMPIRICAL AND QUANTILE DISTRIBUTIONS TO POISSON MEASURES In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
1991 | TESTS OF FIT FOR COMPOSITE HYPOTHESES WITH CENSORED DATA In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
2003 | Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2017 | Structural breaks in panel data: Large number of panels and short length time series In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
2019 | Structural breaks in panel data: Large number of panels and short length time series.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2009 | Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2010 | SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2009 | Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers. [Full Text][Citation analysis] | paper | 61 |
2011 | Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
2009 | Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
2001 | LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
2003 | ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
2003 | ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
2004 | SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 30 |
2006 | CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
2006 | MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
2006 | TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
2007 | A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
2008 | ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
2009 | ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2012 | SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
2013 | A FUNCTIONAL VERSION OF THE ARCH MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 25 |
2014 | LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2014 | Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2017 | ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
2022 | SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
2021 | Sequential monitoring of changes in dynamic linear models, applied to the US housing market.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
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