Lajos Horvath : Citation Profile

Are you Lajos Horvath?

18

H index

42

i10 index

1144

Citations

RESEARCH PRODUCTION:

144

Articles

21

Papers

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 27
   Journals where Lajos Horvath has often published
   Relations with other researchers
   Recent citing documents: 142.    Total self citations: 55 (4.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho286
   Updated: 2024-12-03    RAS profile: 2024-11-09    
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Relations with other researchers

Works with:

Wang, Shixuan (8)

Trapani, Lorenzo (3)

Lu, Shanglin (3)

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 (30)

Trapani, Lorenzo (24)

Francq, Christian (23)

Trapani, Lorenzo (23)

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 (32)

Phillips, Peter (31)

Bai, Jushan (23)

Perron, Pierre (22)

Taylor, Robert (16)

Engle, Robert (15)

Yu, Jun (13)

Leybourne, Stephen (12)

Bollerslev, Tim (12)

Wied, Dominik (12)

Hansen, Bruce (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 Analysis9
Journal of Econometrics8
Statistics & Risk Modeling5
Journal of Business & Economic Statistics4
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research4
Journal of Financial Econometrics3
Annals of the Institute of Statistical Mathematics3
Journal of Theoretical Probability3
Energy2
Scandinavian Journal of Statistics2
International Statistical Review2
Journal of the Royal Statistical Society Series B2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL7
MPRA Paper / University Library of Munich, Germany5
Papers / arXiv.org2
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.

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2023A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2024Change-Point Analysis of Time Series with Evolutionary Spectra. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031.

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2023Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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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.

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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.

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

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2024An 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.

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

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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

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

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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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.

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2024Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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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.

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2023A nonparametric test of group distributional differences for hierarchically clustered functional data. (2023). Reich, Brian J ; Long, Alexander S ; Meitzen, John ; Staicu, Anamaria. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:4:p:3778-3791.

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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.

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2023Testing relevant hypotheses in functional time series via self‐normalization. (2020). Volgushev, Stanislav ; Kokot, Kevin ; Dette, Holger. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:3:p:629-660.

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2023A unified data‐adaptive framework for high dimensional change point detection. (2020). Liu, Yufeng ; Zhang, Xinsheng ; Zhou, Cheng. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:4:p:933-963.

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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.

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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.

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2023TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS. (2010). Candelon, Bertrand ; Manner, Hans. In: Pacific Economic Review. RePEc:bla:pacecr:v:15:y:2010:i:3:p:364-384.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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2023Instrument validity for heterogeneous causal effects. (2023). Sun, Zhenting. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002397.

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

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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2023Functional classification and dynamic prediction of cumulative intraday returns in crude oil futures. (2023). Liu, Xiaoxing. In: Energy. RePEc:eee:energy:v:284:y:2023:i:c:s0360544223027494.

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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.

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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.

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2023Dating financial bubbles via online multiple testing procedures. (2023). Vacca, Gianmarco ; Quatto, Piero ; Genoni, Giulia. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006104.

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2023Testing the hypothesis of duration dependence in the U.S. housing market. (2023). Gil-Alana, Luis ; Dettoni, Robinson. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010140.

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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.

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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.

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

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels. (2023). Jeribi, Ahmed ; Karamti, Chiraz. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s170349492300052x.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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2023Informal employment from migration shocks. (2023). Valente, Marica ; Trapani, Lorenzo ; Gries, Timm. In: Working Papers. RePEc:inn:wpaper:2023-09.

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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.

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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.

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2023Testing for parameter change epochs in GARCH time series. (2023). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:467-491..

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

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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.

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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.

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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.

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More than 100 citations found, this list is not complete...

Works by Lajos Horvath:

YearTitleTypeCited
2021Changepoint detection in random coefficient autoregressive models In: Papers.
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2024Sequential monitoring for explosive volatility regimes In: Papers.
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2014Inference for Functional Data with Applications by Lajos Horváth and Piotr Kokoszka In: International Statistical Review.
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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]		article33
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]		article37
2006Estimation in Random Coefficient Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article22
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.
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2013Structural breaks in time series In: Journal of Time Series Analysis.
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2015TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
2017Functional Generalized Autoregressive Conditional Heteroskedasticity In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article18
2015Functional generalized autoregressive conditional heteroskedasticity.(2015) In: MPRA Paper.
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2017Detecting at-Most-m Changes in Linear Regression Models In: Journal of Time Series Analysis.
[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]		article22
2021Detecting early or late changes in linear models with heteroscedastic errors In: Scandinavian Journal of Statistics.
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