Lajos Horvath : Citation Profile

19

H index

45

i10 index

1256

Citations

RESEARCH PRODUCTION:

150

Articles

23

Papers

RESEARCH ACTIVITY:

   42 years (1983 - 2025). See details.
   Cites by year: 29
   Journals where Lajos Horvath has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 57 (4.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho286
   Updated: 2025-11-15    RAS profile: 2025-11-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Wang, Shixuan (7)

Lu, Shanglin (4)

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 (31)

Francq, Christian (27)

Trapani, Lorenzo (24)

Trapani, Lorenzo (23)

Zakoian, Jean-Michel (19)

Pouliot, William (15)

Wang, Shixuan (14)

LINTON, OLIVER (13)

Phillips, Peter (13)

Andreou, Elena (12)

Gallo, Giampiero (12)

Cites to:

Andrews, Donald (32)

Phillips, Peter (31)

Perron, Pierre (24)

Bai, Jushan (23)

Taylor, Robert (16)

Engle, Robert (15)

Yu, Jun (13)

Leybourne, Stephen (12)

Wied, Dominik (12)

Hansen, Bruce (12)

Bollerslev, Tim (12)

Main data

Where Lajos Horvath has published?

Journals with more than one article published# docs
Statistics & Probability Letters26
Journal of Multivariate Analysis23
Stochastic Processes and their Applications17
Econometric Theory16
Journal of Time Series Analysis10
Journal of Econometrics9
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research6
Journal of Business & Economic Statistics5
Statistics & Risk Modeling5
Scandinavian Journal of Statistics3
Journal of Theoretical Probability3
Annals of the Institute of Statistical Mathematics3
Journal of Financial Econometrics3
International Statistical Review2
Computational Statistics & Data Analysis2
Journal of the Royal Statistical Society Series B2
Energy2

Working Papers Series with more than one paper published# docs
Post-Print / HAL8
MPRA Paper / University Library of Munich, Germany5
Papers / arXiv.org3
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Lajos Horvath (2025 and 2024)

YearTitle of citing document
2024Change-Point Analysis of Time Series with Evolutionary Spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031.

Full description at Econpapers || Download paper

2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

Full description at Econpapers || Download paper

2024Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

Full description at Econpapers || Download paper

2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

Full description at Econpapers || Download paper

2024Fast Online Changepoint Detection. (2024). Rossi, Eduardo ; Trapani, Lorenzo ; Ghezzi, Fabrizio. In: Papers. RePEc:arx:papers:2402.04433.

Full description at Econpapers || Download paper

2025Identifying the Hidden Nexus between Benford Law Establishment in Stock Market and Market Efficiency: An Empirical Investigation. (2025). Sarkandiz, M R. In: Papers. RePEc:arx:papers:2501.02674.

Full description at Econpapers || Download paper

2025Functional Linear Projection and Impulse Response Analysis. (2025). Seong, Dakyung. In: Papers. RePEc:arx:papers:2503.08364.

Full description at Econpapers || Download paper

2025Analysis of Distributional Dynamics for Repeated Cross-Sectional and Intra-Period Observations. (2025). Park, Joon Y ; Hu, BO ; Qian, Junhui. In: Papers. RePEc:arx:papers:2505.15763.

Full description at Econpapers || Download paper

2025Intraday Functional PCA Forecasting of Cryptocurrency Returns. (2025). Zhong, Cheng ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2505.20508.

Full description at Econpapers || Download paper

2025A Test for Jumps in Metric-Space Conditional Means. (2025). van Dijcke, David. In: Papers. RePEc:arx:papers:2507.04560.

Full description at Econpapers || Download paper

2025A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

Full description at Econpapers || Download paper

2025Stochastic Boundaries in Spatial General Equilibrium: A Diffusion-Based Approach to Causal Inference with Spillover Effects. (2025). Kikuchi, Tatsuru. In: Papers. RePEc:arx:papers:2508.06594.

Full description at Econpapers || Download paper

2025Optimal break tests for large linear time series models. (2025). Gupta, Abhimanyu ; Seo, Myung Hwan. In: Papers. RePEc:arx:papers:2510.12262.

Full description at Econpapers || Download paper

2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

Full description at Econpapers || Download paper

2024Functional principal component analysis for cointegrated functional time series. (2024). Seo, Wonki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:320-330.

Full description at Econpapers || Download paper

2024Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm. (2024). Fryzlewicz, Piotr ; Cho, Haeran. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:479-494.

Full description at Econpapers || Download paper

2024Test of change point versus long‐range dependence in functional time series. (2024). Baek, Changryong ; Kokoszka, Piotr ; Meng, Xiangdong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:497-512.

Full description at Econpapers || Download paper

2024On distributional autoregression and iterated transportation. (2024). Panaretos, Victor M ; Ghodrati, Laya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:739-770.

Full description at Econpapers || Download paper

2024Covariance‐based soft clustering of functional data based on the Wasserstein–Procrustes metric. (2024). Masarotto, Guido. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:485-512.

Full description at Econpapers || Download paper

2024Simultaneous inference and uniform test for eigensystems of functional data. (2024). Hu, Qirui ; Cai, Leheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:192:y:2024:i:c:s0167947323002116.

Full description at Econpapers || Download paper

2025Test for the mean of high-dimensional functional time series. (2025). Jiang, Qing ; Feng, Zhenghui ; Yang, Lin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001245.

Full description at Econpapers || Download paper

2025A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes. (2025). Lpez-Prez, A ; Lvarez-Libana, J ; Gonzlez-Manteiga, W ; Febrero-Bande, M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:203:y:2025:i:c:s0167947324001762.

Full description at Econpapers || Download paper

2024Robust portfolio selection with subjective risk aversion under dependence uncertainty. (2024). Li, Yuhan ; Su, Xiaoshan. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000233.

Full description at Econpapers || Download paper

2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

Full description at Econpapers || Download paper

2024Sequential change-point detection in time series models with conditional heteroscedasticity. (2024). Lee, Youngmi ; Kim, Sungdon ; Oh, Haejune. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000806.

Full description at Econpapers || Download paper

2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Beutner, Eric ; Heinemann, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

Full description at Econpapers || Download paper

2024Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). LINTON, OLIVER ; Hong, Yongmiao ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

Full description at Econpapers || Download paper

2024Testing and relaxing the exclusion restriction in the control function approach. (2024). Sasaki, Yuya ; hoderlein, stefan ; Dhaultfuille, Xavier. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407621000439.

Full description at Econpapers || Download paper

2024Change-point analysis of time series with evolutionary spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s030440762400157x.

Full description at Econpapers || Download paper

2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

Full description at Econpapers || Download paper

2024Data segmentation algorithms: Univariate mean change and beyond. (2024). Cho, Haeran ; Kirch, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:76-95.

Full description at Econpapers || Download paper

2024Spectral Dependence. (2024). Pinto, Marco ; Ombao, Hernando. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:122-159.

Full description at Econpapers || Download paper

2024Factor models and investment strategies in the renewable energy sector. (2024). Miralles-Quiros, Maria Mar. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001919.

Full description at Econpapers || Download paper

2024Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515.

Full description at Econpapers || Download paper

2024Tests for equality of several covariance matrix functions for multivariate functional data. (2024). Qiu, Zhiping ; Zhang, Jin-Ting ; Chen, Jianwei ; Fan, Jiangyuan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x23000891.

Full description at Econpapers || Download paper

2024An independence test for functional variables based on kernel normalized cross-covariance operator. (2024). Manfoumbi, Terence Kevin ; Nkiet, Guy Martial. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x23001392.

Full description at Econpapers || Download paper

2024Change point analysis of functional variance function with stationary error. (2024). Hu, Qirui. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x24000186.

Full description at Econpapers || Download paper

2024A consistent test of equality of distributions for Hilbert-valued random elements. (2024). Gonzalezmanteiga, Wenceslao ; Febrerobande, Manuel ; Gonzalezrodriguez, Gil ; Colubi, Ana. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x24000198.

Full description at Econpapers || Download paper

2025Detection and localization of changes in a panel of densities. (2025). Jach, Agnieszka ; Kutta, Tim ; Wang, Haonan ; Kokoszka, Piotr ; Cardia, Michel Ferreira. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000812.

Full description at Econpapers || Download paper

2025Degradation variation pattern mining based on BEAST time series decomposition integrated functional principal component analysis. (2025). Kou, Gang ; Kang, Fengming ; Zhou, YU ; Liu, Shenyan. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:259:y:2025:i:c:s0951832025001553.

Full description at Econpapers || Download paper

2024A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Manner, Hans ; Rodriguez, Gabriel ; Stockler, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403.

Full description at Econpapers || Download paper

2024Sequential monitoring of stock market price changes. (2024). Xiao, Zhijie ; Liu, Zhenya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:156-172.

Full description at Econpapers || Download paper

2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

Full description at Econpapers || Download paper

2024Asymptotic normality of spectral means of Hilbert space valued random processes. (2024). Kreiss, Jens-Peter ; Paparoditis, Efstathios ; Rademacher, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s0304414924000632.

Full description at Econpapers || Download paper

2024Detection of a structural break in intraday volatility pattern. (2024). Kutta, Tim ; Wang, Shixuan ; Kokoszka, Piotr ; Mohammadi, Neda. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001327.

Full description at Econpapers || Download paper

2024Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm. (2024). Fryzlewicz, Piotr ; Cho, Haeran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120085.

Full description at Econpapers || Download paper

2024Deep functional factor models: forecasting high-dimensional functional time series via Bayesian nonparametric factorization. (2024). Wang, Liying ; Pei, Yulong ; Qiao, Xinghao ; Liu, Yirui. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125587.

Full description at Econpapers || Download paper

2024Bootstrapping Long-Run Covariance of Stationary Functional Time Series. (2024). Shang, Han Lin. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:1:p:8-151:d:1333779.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Change-Point Detection in Functional First-Order Auto-Regressive Models. (2024). Birbilas, Algimantas ; Rakauskas, Alfredas. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:12:p:1889-:d:1417130.

Full description at Econpapers || Download paper

2024A New Random Coefficient Autoregressive Model Driven by an Unobservable State Variable. (2024). Pang, Yuxin ; Wang, Dehui. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3890-:d:1540693.

Full description at Econpapers || Download paper

2024Weak Convergence of the Conditional Set-Indexed Empirical Process for Missing at Random Functional Ergodic Data. (2024). Souddi, Youssouf ; Bouzebda, Salim ; Madani, Fethi. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:448-:d:1329886.

Full description at Econpapers || Download paper

2025Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case. (2025). Almanjahie, Ibrahim M ; Laksaci, Ali ; Elmezouar, Zouaoui Chikr ; Alshahrani, Fatimah. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1961-:d:1678875.

Full description at Econpapers || Download paper

2025Zero-Shot Learning for S&P 500 Forecasting via Constituent-Level Dynamics: Latent Structure Modeling Without Index Supervision. (2025). Noh, Yoonjae ; Kim, Sangjin. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:17:p:2762-:d:1735945.

Full description at Econpapers || Download paper

2025A Self-Normalized Online Monitoring Method Based on the Characteristic Function. (2025). Wang, Yang ; Yang, Baoying. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:710-:d:1597291.

Full description at Econpapers || Download paper

2025Online Monitoring of Structural Change Points Based on Ratio-Type Statistics. (2025). Wu, Minghua ; Li, Wenjie ; Jin, Hao. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:8:p:1315-:d:1636624.

Full description at Econpapers || Download paper

2025An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573.

Full description at Econpapers || Download paper

2024Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China. (2024). Lin, Aihua ; Su, Zhifang ; Fu, Yizheng. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09431-w.

Full description at Econpapers || Download paper

2024Finite moments testing in a general class of nonlinear time series models. (2024). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:121193.

Full description at Econpapers || Download paper

2025Inference on breaks in weak location time series models with quasi-Fisher scores. (2025). Francq, Christian ; Zakoian, Jean-Michel ; Trapani, Lorenzo. In: MPRA Paper. RePEc:pra:mprapa:123741.

Full description at Econpapers || Download paper

2024Did the prevalence of depressive symptoms change during the COVID-19 pandemic? A multilevel analysis on longitudinal data from healthcare workers. (2024). Spallek, Jacob ; Gremmels, Heinz-Detlef ; Hufert, Frank ; Holmberg, Christine ; Lffler, Antje ; Schulze, Susanne ; Hoffmann, Stephanie ; Entringer, Sonja ; Rapp, Michael A ; Becker, Juliane. In: International Journal of Social Psychiatry. RePEc:sae:socpsy:v:70:y:2024:i:1:p:87-98.

Full description at Econpapers || Download paper

2024Data segmentation for time series based on a general moving sum approach. (2024). Kirch, Claudia ; Reckruehm, Kerstin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:76:y:2024:i:3:d:10.1007_s10463-023-00892-4.

Full description at Econpapers || Download paper

2025Forecasting oil commodity spot price in a data-rich environment. (2025). Liu, Zhenya ; Boubaker, Sabri ; Zhang, Yifan. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-05004-8.

Full description at Econpapers || Download paper

2024Using interpolated implied volatility for analysing exogenous market changes. (2024). Vitali, Sebastiano ; MacIak, Matu. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00505-2.

Full description at Econpapers || Download paper

2024Convergence of the CUSUM estimation for a mean shift in linear processes with random coefficients. (2024). Wang, Xuejun ; Wu, YI. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:7:d:10.1007_s00180-024-01465-6.

Full description at Econpapers || Download paper

2025Robust estimation of functional factor models with functional pairwise spatial signs. (2025). Ling, Nengxiang ; Yang, Shuquan. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:1:d:10.1007_s00180-024-01477-2.

Full description at Econpapers || Download paper

2025Lean persuasive design of electronic word-of-mouth (e-WOM) indexes for e-commerce stores based on fogg behavior model. (2025). Yu, Zhaoxu ; Zhang, Yuqi ; Liu, Fang. In: Electronic Commerce Research. RePEc:spr:elcore:v:25:y:2025:i:4:d:10.1007_s10660-023-09753-x.

Full description at Econpapers || Download paper

2024Some Optimal Conditions for the ASCLT. (2024). Hrmann, Siegfried ; Berkes, Istvn. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01245-w.

Full description at Econpapers || Download paper

2025A Partial Review on Testing for Change Points in Autoregressive Time Series Models. (2025). Eddine, Mohamed Salah ; Elharfaoui, Echarif ; Elaafani, Mohamed-Amine ; Nejjam, Sara. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:3:d:10.1007_s11009-025-10185-3.

Full description at Econpapers || Download paper

2024Real-time changepoint detection in a nonlinear expectile model. (2024). Peta, Michal ; MacIak, Mat ; Ciuperca, Gabriela. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:87:y:2024:i:2:d:10.1007_s00184-023-00904-6.

Full description at Econpapers || Download paper

2024A Cramér–von Mises test for a class of mean time dependent CHARN models with application to change-point detection. (2024). Ngatchou-Wandji, Joseph ; Ltaifa, Marwa. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:1:d:10.1007_s11203-023-09295-x.

Full description at Econpapers || Download paper

2024Projection-based white noise and goodness-of-fit tests for functional time series. (2024). Rice, Gregory ; Kokoszka, Piotr ; Kim, Mihyun. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:3:d:10.1007_s11203-024-09315-4.

Full description at Econpapers || Download paper

2024Weighted composite quantile inference for nearly nonstationary autoregressive models. (2024). Liu, Bingqi ; Pang, Tianxiao. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:5:d:10.1007_s10260-024-00763-z.

Full description at Econpapers || Download paper

2024Kendall’s tau-based inference for gradually changing dependence structures. (2024). Lemyre, Flix Camirand ; Quessy, Jean-Franois. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01471-8.

Full description at Econpapers || Download paper

2024Adaptive parametric change point inference under covariance structure changes. (2024). Jandhyala, Venkata K ; Pavlopoulos, Vasileios ; Fotopoulos, Stergios B ; Kaul, Abhishek. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01495-0.

Full description at Econpapers || Download paper

2024Fourier approach to goodness-of-fit tests for Gaussian random processes. (2024). Hlavka, Zdenk ; Dolnik, Viktor ; Oupek, Petr ; Hlubinka, Daniel. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01510-4.

Full description at Econpapers || Download paper

2024Supervised dimension reduction for functional time series. (2024). Liang, Shanshan ; Jia, Shanming ; Wen, Zengyao ; Wang, Guochang. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-023-01505-1.

Full description at Econpapers || Download paper

2024Robust change-point detection for functional time series based on U-statistics and dependent wild bootstrap. (2024). Wendler, Martin ; Wegner, Lea. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01577-7.

Full description at Econpapers || Download paper

2025A Test for Trend Gradual Changes in Heavy Tailed AR (p) Sequences. (2025). Wang, Chong ; Wei, Yuesong ; Xu, Tianming ; Jiang, Dong. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01626-1.

Full description at Econpapers || Download paper

2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Hudecov, Rka ; Ngatchou-Wandji, Joseph ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

Full description at Econpapers || Download paper

2025Testing for changes in the error distribution in functional linear models. (2025). Selk, Leonie ; Neumeyer, Natalie. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01656-9.

Full description at Econpapers || Download paper

2025On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series. (2025). Lab, N ; Ghoudi, K. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:5:d:10.1007_s00362-025-01728-4.

Full description at Econpapers || Download paper

2024Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data. (2024). Pretorius, Charl ; Nolan, John P ; Meintanis, Simos G. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:2:d:10.1007_s11749-023-00909-3.

Full description at Econpapers || Download paper

2024Change-point detection in a tensor regression model. (2024). Nkurunziza, Svrien ; Ghannam, Mai. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:2:d:10.1007_s11749-023-00915-5.

Full description at Econpapers || Download paper

2024Multiple change point detection for high-dimensional data. (2024). Tan, Falong ; Zhao, Wenbiao ; Zhu, Lixing. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00926-w.

Full description at Econpapers || Download paper

2025Functional Location-Scale Models with Robust Observation-Driven Dynamics. (2025). Lucas, Andrae ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250027.

Full description at Econpapers || Download paper

2025Clustering Extreme Value Indices in Large Panels. (2025). Schaumburg, Julia ; Lin, Yicong ; Cai, Juan Juan ; Wang, Chenhui. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250029.

Full description at Econpapers || Download paper

2024A Hotelling spatial scan statistic for functional data: application to economic and climate data. (2024). Cucala, Lionel ; Laurent, Thibault ; Smida, Zaineb. In: TSE Working Papers. RePEc:tse:wpaper:129819.

Full description at Econpapers || Download paper

2024Elastic functional changepoint detection of climate impacts from localized sources. (2024). Yarger, Drew ; Tucker, Derek J. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:1:n:e2826.

Full description at Econpapers || Download paper

2024Towards a macroprudential regulatory framework for mutual funds?. (2024). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:3:p:3063-3082.

Full description at Econpapers || Download paper

2025On the Detection of Structural Breaks: The Case of the Covid Shock. (2025). Tavlas, George ; Hall, Stephen G ; Trapani, Lorenzo ; Wang, Yongli. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:3:p:1042-1070.

Full description at Econpapers || Download paper

2025Real‐time detection of local no‐arbitrage violations. (2025). Zhou, BO ; Todorov, Viktor ; Andersen, Torben G. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:2:p:459-495.

Full description at Econpapers || Download paper

2025Testing mean stationarity of intraday volatility curves. (2025). Andersen, Torben G ; Tan, Yingwen ; Todorov, Viktor ; Zhang, Zhiyuan. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:3:p:1059-1091.

Full description at Econpapers || Download paper

2024Bubbles Identification in an Emerging Economy and Within Stock Markets of its Trading Partners: Evidence from a GSADF Approach. (2024). Al-Haddad, Lara ; Abdul, Muthanna G ; Salman, Asma ; Maqbool, Naureen ; Ahmed, Mumtaz ; Matac, Liviu Marian ; Pavel, Codruta Daniela. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:19:y:2024:i:04:n:s2010495224500179.

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
2024Sequential monitoring for explosive volatility regimes In: Papers.
[Full Text][Citation analysis]		paper0
2025Detecting multiple change points in linear models with heteroscedastic errors 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]		article3
2009Detecting changes in the mean of functional observations In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article42
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]		article41
2006Estimation in Random Coefficient Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article23
2009Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article20
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]		article4
2013Structural breaks in time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article99
2015TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
2017Functional Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article26
2015Functional generalized autoregressive conditional heteroskedasticity.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		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
2025Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity 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]		article23
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]		paper19
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: 19		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]		paper62
2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		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: 62		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]		article14
2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article33
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]		article17
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]		article12
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]		article16
2013A FUNCTIONAL VERSION OF THE ARCH MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article30
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]		article4
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: 4		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: 4		paper
2006Change-point monitoring in linear models In: Econometrics Journal.
[Full Text][Citation analysis]		article19
2016Adaptive bandwidth selection in the long run covariance estimator of functional time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article6
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]		article4
2006Testing for stochastic dominance using the weighted McFadden-type statistic In: Journal of Econometrics.
[Full Text][Citation analysis]		article38
2009Delay times of sequential procedures for multiple time series regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
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]		article70
2015Testing for independence between functional time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2016Statistical inference in a random coefficient panel model In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2019Testing for randomness in a random coefficient autoregression model In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2018Testing for randomness in a random coefficient autoregression model.(2018) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2020Sequential monitoring for changes from stationarity to mild non-stationarity In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2025On changepoint detection in functional data using empirical energy distance In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018Change point detection in heteroscedastic time series In: Econometrics and Statistics.
[Full Text][Citation analysis]		article11
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]		article8
2021How to identify the different phases of stock market bubbles statistically?.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		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]		article28
2010Testing the stability of the functional autoregressive process In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article14
2012Detecting changes in functional linear models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article3
2013Test of independence for functional data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article14
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]		article11
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]		article3
2023Testing for changes in linear models using weighted residuals 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]		article13
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]		article6
1996On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article13
1999Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article23
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]		article7
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]		article9
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]		article7
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
2023Lp-functionals for change point detection in random coefficient autoregressive models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
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]		article4
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]		article18
2004Testing for parameter constancy in GARCH(p,q) models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article14
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]		article7
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
2025Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models In: Post-Print.
[Citation analysis]		paper0
1992Strong Approximations of Open Queueing Networks In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article0
2024The maximally selected likelihood ratio test in random coefficient models In: The Econometrics Journal.
[Full Text][Citation analysis]		article1
2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article26
2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2006Sample and Implied Volatility in GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
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]		paper5
2020Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models.(2020) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
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
1999Limit Theorems for Logarithmic Averages of Fractional Brownian Motions In: Journal of Theoretical Probability.
[Full Text][Citation analysis]		article0
2010On Functional Versions of the Arc-Sine Law In: Journal of Theoretical Probability.
[Full Text][Citation analysis]		article0
2016On the Extremal Theory of Continued Fractions In: Journal of Theoretical Probability.
[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]		article5
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]		article30
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]		article30
2024Comments on: Shape-based functional data analysis by Wu, Huang and Srivastava In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
2024Change point detection in high dimensional data with U-statistics In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
2020A New Class of Change Point Test Statistics of Rényi Type In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2023Testing Stability in Functional Event Observations with an Application to IPO Performance In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2023Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2024Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
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]		article5
2024Breaks in term structures: Evidence from the oil futures markets In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated October, 21 2025. Contact: CitEc Team