Lajos Horvath : Citation Profile


Are you Lajos Horvath?

17

H index

41

i10 index

1070

Citations

RESEARCH PRODUCTION:

138

Articles

20

Papers

RESEARCH ACTIVITY:

   39 years (1983 - 2022). See details.
   Cites by year: 27
   Journals where Lajos Horvath has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 51 (4.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho286
   Updated: 2024-01-16    RAS profile: 2023-05-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Wang, Shixuan (6)

Lu, Shanglin (3)

Trapani, Lorenzo (2)

Trapani, Lorenzo (2)

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

Is cited by:

Shang, Han Lin (29)

Trapani, Lorenzo (24)

Trapani, Lorenzo (23)

Francq, Christian (21)

Zakoian, Jean-Michel (18)

Pouliot, William (15)

Phillips, Peter (13)

Wang, Shixuan (13)

Andreou, Elena (12)

Gallo, Giampiero (12)

LINTON, OLIVER (11)

Cites to:

Andrews, Donald (30)

Phillips, Peter (26)

Bai, Jushan (21)

Perron, Pierre (20)

Taylor, Robert (16)

Engle, Robert (15)

Hansen, Bruce (12)

Bollerslev, Tim (12)

Leybourne, Stephen (12)

Wied, Dominik (12)

Yu, Jun (11)

Main data


Where Lajos Horvath has published?


Journals with more than one article published# docs
Statistics & Probability Letters25
Journal of Multivariate Analysis22
Stochastic Processes and their Applications17
Econometric Theory16
Journal of Time Series Analysis9
Journal of Econometrics8
Statistics & Risk Modeling5
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research4
The Journal of Financial Econometrics3
Journal of Theoretical Probability3
Scandinavian Journal of Statistics3
Annals of the Institute of Statistical Mathematics3
International Statistical Review2
Journal of the Royal Statistical Society Series B2
Energy2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL7
MPRA Paper / University Library of Munich, Germany5
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Lajos Horvath (2024 and 2023)


YearTitle of citing document
2023A 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

2023A 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

2023Functional 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

2023Asymptotic 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

2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2023Conformal 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

2023Multiple 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

2023Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853.

Full description at Econpapers || Download paper

2023An 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

2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

Full description at Econpapers || Download paper

2023Estimation 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

2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Break-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

2023On 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

2023Inference 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

2023Statistical 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

2023Multiple 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

2023Are 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

2023Tempered 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

2023Seemingly 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

2023Realized 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

2023Multiple 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

2023On 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

2023Robust 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

2023Change-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

2023Conformal 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

2023How 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

2023Structural 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

2023Time 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

2023Conditional 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

2023Testing 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

2023Feasible 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

2023Networks 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

2023Following 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

2023Loss 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

2023Modelling 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

2023Investing 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

2023Robust 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

2023Nonparametric 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

2023Testing 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

2023Revisiting 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

2023Asymptotic 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

2023The 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

2023Multiple 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

2023A 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

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Change-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

2023Monitoring 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

2023Informal 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

2023Exploring 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

2023Mean 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

2023Least 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

2023Spatial 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

2023Asynchronous 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

2023.

Full description at Econpapers || Download paper

2023Strong 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

2023Asymptotic 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

2023A 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

2023The 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

2023Wavelet 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

2023A 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

2023Consistency 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

2023Should 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

2023A 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

2023A 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

2023Multipartition 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

2023Nonlinear 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

2023.

Full description at Econpapers || Download paper

2023Forecasting 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

2023.

Full description at Econpapers || Download paper

Works by Lajos Horvath:


YearTitleTypeCited
2021Changepoint detection in random coefficient autoregressive models In: Papers.
[Full Text][Citation analysis]
paper0
2014Inference for Functional Data with Applications by Lajos Horváth and Piotr Kokoszka In: International Statistical Review.
[Full Text][Citation analysis]
article0
2020Tests of Normality of Functional Data In: International Statistical Review.
[Full Text][Citation analysis]
article2
2009Detecting changes in the mean of functional observations In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article26
2013Estimation 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]
article34
2006Estimation in Random Coefficient Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article21
2009Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article19
2011Testing for structural change of AR model to threshold AR model In: Journal of Time Series Analysis.
[Citation analysis]
article2
2012Change-point detection in panel data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
2013Structural breaks in time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article83
2015TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article8
2017Functional Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article16
2015Functional generalized autoregressive conditional heteroskedasticity.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16
paper
2017Detecting at-Most-m Changes in Linear Regression Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article4
2022Inference in functional factor models with applications to yield curves In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2013Testing the Equality of Covariance Operators in Functional Samples In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article19
20214th Workshop on Goodness?of?Fit, Change?Point, and Related Problems, Trento, 2019 In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article0
2021Detecting early or late changes in linear models with heteroscedastic errors In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article0
1996ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article11
1997INTEGRAL TESTS FOR SUPREMA OF KIEFER PROCESSES WITH APPLICATION In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article1
1985ESTIMATION FROM A LENGTH-BIASED DISTRIBUTION In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article1
1988CONVERGENCE OF THE EMPIRICAL AND QUANTILE DISTRIBUTIONS TO POISSON MEASURES In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article0
1991TESTS OF FIT FOR COMPOSITE HYPOTHESES WITH CENSORED DATA In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article0
2003Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
2017Structural breaks in panel data: Large number of panels and short length time series In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper16
2019Structural 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
2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
[Full Text][Citation analysis]
paper6
2010SUP-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
2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
[Full Text][Citation analysis]
paper61
2011Merits 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
2009Merits 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
2001LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article13
2003ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article28
2003ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE In: Econometric Theory.
[Full Text][Citation analysis]
article11
2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article30
2006CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES In: Econometric Theory.
[Full Text][Citation analysis]
article15
2006MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]
article15
2006TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article6
2007A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS In: Econometric Theory.
[Full Text][Citation analysis]
article11
2008ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS In: Econometric Theory.
[Full Text][Citation analysis]
article1
2009ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES In: Econometric Theory.
[Full Text][Citation analysis]
article3
2012SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS In: Econometric Theory.
[Full Text][Citation analysis]
article15
2013A FUNCTIONAL VERSION OF THE ARCH MODEL In: Econometric Theory.
[Full Text][Citation analysis]
article25
2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article3
2014Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2017ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article2
2022SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET In: Econometric Theory.
[Full Text][Citation analysis]
article2
2021Sequential 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
2021SEQUENTIAL 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
2006Change-point monitoring in linear models In: Econometrics Journal.
[Full Text][Citation analysis]
article17
2016Adaptive bandwidth selection in the long run covariance estimator of functional time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
1988Asymptotics for Lp-norms of kernel estimators of densities In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article0
2020Time-varying beta in functional factor models: Evidence from China In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article2
2006Testing for stochastic dominance using the weighted McFadden-type statistic In: Journal of Econometrics.
[Full Text][Citation analysis]
article37
2009Delay times of sequential procedures for multiple time series regression models In: Journal of Econometrics.
[Full Text][Citation analysis]
article11
2012Segmenting mean-nonstationary time series via trending regressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2014Testing stationarity of functional time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article52
2015Testing for independence between functional time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
2016Statistical inference in a random coefficient panel model In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
2019Testing for randomness in a random coefficient autoregression model In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
2018Testing for randomness in a random coefficient autoregression model.(2018) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2020Sequential monitoring for changes from stationarity to mild non-stationarity In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
2018Change point detection in heteroscedastic time series In: Econometrics and Statistics.
[Full Text][Citation analysis]
article8
1996An energy saving atmospheric evaporator utilizing low grade thermal or waste energy In: Energy.
[Full Text][Citation analysis]
article3
1997The use of a thermal energy recycle unit in conjunction with a basin-type solar still for enhanced productivity In: Energy.
[Full Text][Citation analysis]
article2
2022How to identify the different phases of stock market bubbles statistically? In: Finance Research Letters.
[Full Text][Citation analysis]
article4
2021How to identify the different phases of stock market bubbles statistically?.(2021) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4
paper
1986Estimates for the probability of ruin starting with a large initial reserve In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2020A functional time series analysis of forward curves derived from commodity futures In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2020A functional time series analysis of forward curves derived from commodity futures.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2009Estimation of a change-point in the mean function of functional data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article20
2010Testing the stability of the functional autoregressive process In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article13
2012Detecting changes in functional linear models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article2
2013Test of independence for functional data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article13
2013Change-point detection in multinomial data using phi-divergence test statistics In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article2
2014Functional data analysis with increasing number of projections In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article10
1983The rate of strong uniform consistency for the multivariate product-limit estimator In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article3
2016On the asymptotic normality of kernel estimators of the long run covariance of functional time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article10
2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article2
1985Strong approximations of the quantile process of the product-limit estimator In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article4
2020Testing normality of data on a multivariate grid In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article1
2022Change point analysis of covariance functions: A weighted cumulative sum approach In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article0
1987Approximation of intermediate quantile processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article0
1988Asymptotics of conditional empirical processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article10
1988Invariance principles for changepoint problems In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article4
1989The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article4
1991On the asymptotic distributions of weighted uniform multivariate empirical processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article0
1992Rényi-type empirical processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article0
1994Limit theorems for change in linear regression In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article7
1996On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article12
1999Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article21
2001Change-Point Detection in Long-Memory Processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article3
2003Limit results for the empirical process of squared residuals in GARCH models In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article5
2007Limit theorems for permutations of empirical processes with applications to change point analysis In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article2
2012The central limit theorem for sums of trimmed variables with heavy tails In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article2
2013Weak invariance principles for sums of dependent random functions In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article8
1984Strong approximation of renewal processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article2
1987Stability and instability of local time of random walk in random environment In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article1
1987On the tail behaviour of quantile processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article0
1988A note on strong approximations of multivariate empirical processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article0
1991Rate of convergence in limit theorems for Brownian excursions In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article0
1991Short distances on the line In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article0
1993Change in autoregressive processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article1
1993Convergence of integrals of uniform empirical and quantile processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article4
1994An application of the maximum likelihood test to the change-point problem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article6
1995Weight functions and pathwise local central limit theorems In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article4
1996Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article2
1998Logarithmic averages of stable random variables are asymptotically normal In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article0
2001The logarithmic average of sample extremes is asymptotically normal In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article3
1992A goodness-of-fit test for exponential families In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1994A note on dichotomy theorems for integrals of stable processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1996A note on the change-point problem for angular data In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article1
1984Strong approximation of certain stopped sums In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1996Between local and global logarithmic averages In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1998Almost sure central limit theorems under minimal conditions In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article3
1985Approximation for Abel sums of independent, identically distributed random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1999On the best approximation for bootstrapped empirical processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1999Limit theorems for short distances in In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
2000Approximations for weighted bootstrap processes with an application In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article7
1986Estimation of influence functions In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1986How large must be the difference between local time and mesure du voisinage of Brownian motion? In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1986Approximations of weighted empirical and quantile processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article4
2001On the estimation of spread rate for a biological population In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article2
2003The rate of consistency of the quasi-maximum likelihood estimator In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article15
2003A bootstrap approximation to a unit root test statistic for heavy-tailed observations In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article10
2003Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article2
2004Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models.(2004) In: Statistics & Probability Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
article
2004Delay time in sequential detection of change In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article16
2004Testing for parameter constancy in GARCH(p,q) models In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article12
2007Rescaled range analysis in the presence of stochastic trend In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
2007On sequential detection of parameter changes in linear regression In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article6
2008The functional central limit theorem for a family of GARCH observations with applications In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article11
2014On the central limit theorem for modulus trimmed sums In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1989On best possible approximations of local time In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
1999Empirical Process of the Squared Residuals of an ARCH Sequence. In: G.R.E.Q.A.M..
[Citation analysis]
paper4
1999Empirical process of the squared residuals of an ARCH sequence.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2020A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis In: Post-Print.
[Full Text][Citation analysis]
paper5
2020A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis.(2020) In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
article
2021Detecting common breaks in the means of high dimensional cross-dependent panels In: Post-Print.
[Citation analysis]
paper0
1992Strong Approximations of Open Queueing Networks In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article0
2016Variance Targeting Estimation of Multivariate GARCH Models In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article22
2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22
paper
2006Sample and Implied Volatility in GARCH Models In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article10
2008Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models In: MPRA Paper.
[Full Text][Citation analysis]
paper0
1990Confidence bands for quantile function under random censorship In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article0
1997Detection of Changes in Linear Sequences In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article5
2001Change-Point Detection in Angular Data In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article0
In: .
[Full Text][Citation analysis]
article0
In: .
[Full Text][Citation analysis]
article0
In: .
[Full Text][Citation analysis]
article0
2008Monitoring shifts in mean: Asymptotic normality of stopping times In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
article2
2009Effect of aggregation on estimators in AR(1) sequence In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
article1
2014Extensions of some classical methods in change point analysis In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
article23
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.
[Full Text][Citation analysis]
article23
2020A New Class of Change Point Test Statistics of Rényi Type In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article2
2009Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]
article0
2017Change point tests in functional factor models with application to yield curves In: Econometrics Journal.
[Full Text][Citation analysis]
article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team