Details about Lajos Horvath
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Shortid: pho286
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Working Papers
2017
 Structural breaks in panel data: Large number of panels and short length time series
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2015
 Functional generalized autoregressive conditional heteroskedasticity
MPRA Paper, University Library of Munich, Germany
2014
 Limit Laws in TransactionLevel Asset Price Models
PostPrint, HAL
See also Journal Article in Econometric Theory (2014)
 Variance targeting estimation of multivariate GARCH models
MPRA Paper, University Library of Munich, Germany View citations (3)
See also Journal Article in Journal of Financial Econometrics (2016)
2009
 Merits and Drawbacks of Variance Targeting in GARCH Models
Working Papers, Centre de Recherche en Economie et Statistique View citations (5)
Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (7)
See also Journal Article in Journal of Financial Econometrics (2011)
 SupTests for Linearity in a General Nonlinear AR(1) Model
Working Papers, Centre de Recherche en Economie et Statistique
See also Journal Article in Econometric Theory (2010)
2008
 Suptests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space
MPRA Paper, University Library of Munich, Germany
2003
 Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
1999
 Empirical Process of the Squared Residuals of an ARCH Sequence
G.R.E.Q.A.M., Universite AixMarseille III
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (3)
Journal Articles
2017
 ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS
Econometric Theory, 2017, 33, (02), 366412 View citations (1)
2016
 Adaptive bandwidth selection in the long run covariance estimator of functional time series
Computational Statistics & Data Analysis, 2016, 100, (C), 676693 View citations (1)
 On the asymptotic normality of kernel estimators of the long run covariance of functional time series
Journal of Multivariate Analysis, 2016, 144, (C), 150175
 Statistical inference in a random coefficient panel model
Journal of Econometrics, 2016, 193, (1), 5475 View citations (1)
 Variance Targeting Estimation of Multivariate GARCH Models
Journal of Financial Econometrics, 2016, 14, (2), 353382 View citations (1)
See also Working Paper (2014)
2015
 TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES
Journal of Time Series Analysis, 2015, 36, (1), 84108 View citations (1)
 Testing for independence between functional time series
Journal of Econometrics, 2015, 189, (2), 371382 View citations (5)
2014
 Extensions of some classical methods in change point analysis
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, 23, (2), 219255 View citations (5)
 Functional data analysis with increasing number of projections
Journal of Multivariate Analysis, 2014, 124, (C), 313332 View citations (3)
 LIMIT LAWS IN TRANSACTIONLEVEL ASSET PRICE MODELS
Econometric Theory, 2014, 30, (03), 536579
See also Working Paper (2014)
 On the central limit theorem for modulus trimmed sums
Statistics & Probability Letters, 2014, 86, (C), 6167
 Rejoinder on: Extensions of some classical methods in change point analysis
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, 23, (2), 287290 View citations (5)
 Testing stationarity of functional time series
Journal of Econometrics, 2014, 179, (1), 6682 View citations (7)
2013
 A FUNCTIONAL VERSION OF THE ARCH MODEL
Econometric Theory, 2013, 29, (02), 267288 View citations (6)
 Changepoint detection in multinomial data using phidivergence test statistics
Journal of Multivariate Analysis, 2013, 118, (C), 5366 View citations (2)
 Estimation of the mean of functional time series and a twosample problem
Journal of the Royal Statistical Society Series B, 2013, 75, (1), 103122 View citations (11)
 Structural breaks in time series
Journal of Time Series Analysis, 2013, 34, (1), 116 View citations (14)
 Test of independence for functional data
Journal of Multivariate Analysis, 2013, 117, (C), 100119 View citations (3)
 Testing the Equality of Covariance Operators in Functional Samples
Scandinavian Journal of Statistics, 2013, 40, (1), 138152 View citations (1)
 Weak invariance principles for sums of dependent random functions
Stochastic Processes and their Applications, 2013, 123, (2), 385403 View citations (8)
2012
 Changepoint detection in panel data
Journal of Time Series Analysis, 2012, 33, (4), 631648 View citations (1)
 Detecting changes in functional linear models
Journal of Multivariate Analysis, 2012, 111, (C), 310334 View citations (1)
 SEQUENTIAL TESTING FOR THE STABILITY OF HIGHFREQUENCY PORTFOLIO BETAS
Econometric Theory, 2012, 28, (04), 804837 View citations (5)
 Segmenting meannonstationary time series via trending regressions
Journal of Econometrics, 2012, 168, (2), 367381 View citations (2)
 The central limit theorem for sums of trimmed variables with heavy tails
Stochastic Processes and their Applications, 2012, 122, (2), 449465 View citations (2)
2011
 Merits and Drawbacks of Variance Targeting in GARCH Models
Journal of Financial Econometrics, 2011, 9, (4), 619656 View citations (22)
See also Working Paper (2009)
 Testing for structural change of AR model to threshold AR model
Journal of Time Series Analysis, 2011, 32, (5), 547565
2010
 SUPTESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
Econometric Theory, 2010, 26, (04), 965993
See also Working Paper (2009)
 Testing the stability of the functional autoregressive process
Journal of Multivariate Analysis, 2010, 101, (2), 352367 View citations (8)
2009
 Delay times of sequential procedures for multiple time series regression models
Journal of Econometrics, 2009, 149, (2), 174190 View citations (3)
 Detecting changes in the mean of functional observations
Journal of the Royal Statistical Society Series B, 2009, 71, (5), 927946 View citations (11)
 Effect of aggregation on estimators in AR(1) sequence
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2009, 18, (3), 546567 View citations (1)
 Estimation in nonstationary random coefficient autoregressive models
Journal of Time Series Analysis, 2009, 30, (4), 395416 View citations (10)
 Estimation of a changepoint in the mean function of functional data
Journal of Multivariate Analysis, 2009, 100, (10), 22542269 View citations (4)
 ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
Econometric Theory, 2009, 25, (02), 411441
2008
 ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS
Econometric Theory, 2008, 24, (06), 16071627
 Monitoring shifts in mean: Asymptotic normality of stopping times
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, 17, (3), 515530 View citations (1)
 The functional central limit theorem for a family of GARCH observations with applications
Statistics & Probability Letters, 2008, 78, (16), 27252730 View citations (2)
2007
 Limit theorems for permutations of empirical processes with applications to change point analysis
Stochastic Processes and their Applications, 2007, 117, (12), 18701888 View citations (2)
 On sequential detection of parameter changes in linear regression
Statistics & Probability Letters, 2007, 77, (9), 885895 View citations (3)
 Rescaled range analysis in the presence of stochastic trend
Statistics & Probability Letters, 2007, 77, (12), 11651175
2006
 Changepoint monitoring in linear models
Econometrics Journal, 2006, 9, (3), 373403 View citations (11)
 Estimation in Random Coefficient Autoregressive Models
Journal of Time Series Analysis, 2006, 27, (1), 6176 View citations (10)
 Sample and Implied Volatility in GARCH Models
Journal of Financial Econometrics, 2006, 4, (4), 617635 View citations (6)
 Testing for stochastic dominance using the weighted McFaddentype statistic
Journal of Econometrics, 2006, 133, (1), 191205 View citations (25)
2004
 Asymptotics of the Lpnorms of density estimators in the firstorder autoregressive models
Statistics & Probability Letters, 2004, 66, (2), 91103
Also in Statistics & Probability Letters, 2003, 65, (4), 331342 (2003)
 Delay time in sequential detection of change
Statistics & Probability Letters, 2004, 67, (3), 221231 View citations (12)
 Testing for parameter constancy in GARCH(p,q) models
Statistics & Probability Letters, 2004, 70, (4), 263273 View citations (5)
2003
 A bootstrap approximation to a unit root test statistic for heavytailed observations
Statistics & Probability Letters, 2003, 62, (2), 163173 View citations (6)
 Limit results for the empirical process of squared residuals in GARCH models
Stochastic Processes and their Applications, 2003, 105, (2), 271298 View citations (5)
 The rate of consistency of the quasimaximum likelihood estimator
Statistics & Probability Letters, 2003, 61, (2), 133143 View citations (11)
2001
 ChangePoint Detection in Angular Data
Annals of the Institute of Statistical Mathematics, 2001, 53, (3), 552566
 ChangePoint Detection in LongMemory Processes
Journal of Multivariate Analysis, 2001, 78, (2), 218234 View citations (3)
 On the estimation of spread rate for a biological population
Statistics & Probability Letters, 2001, 51, (3), 225234
 The logarithmic average of sample extremes is asymptotically normal
Stochastic Processes and their Applications, 2001, 91, (1), 7798 View citations (3)
2000
 Approximations for weighted bootstrap processes with an application
Statistics & Probability Letters, 2000, 48, (1), 5970 View citations (3)
1999
 Limit theorems for short distances in
Statistics & Probability Letters, 1999, 45, (3), 261268
 On the best approximation for bootstrapped empirical processes
Statistics & Probability Letters, 1999, 41, (2), 117122 View citations (1)
 Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes
Journal of Multivariate Analysis, 1999, 68, (1), 96119 View citations (13)
1998
 Almost sure central limit theorems under minimal conditions
Statistics & Probability Letters, 1998, 37, (1), 6776 View citations (4)
 Logarithmic averages of stable random variables are asymptotically normal
Stochastic Processes and their Applications, 1998, 77, (1), 3551 View citations (1)
1997
 Detection of Changes in Linear Sequences
Annals of the Institute of Statistical Mathematics, 1997, 49, (2), 271283 View citations (6)
 INTEGRAL TESTS FOR SUPREMA OF KIEFER PROCESSES WITH APPLICATION
Statistics & Risk Modeling, 1997, 15, (4), 365378 View citations (1)
 The use of a thermal energy recycle unit in conjunction with a basintype solar still for enhanced productivity
Energy, 1997, 22, (1), 8391 View citations (2)
1996
 A note on the changepoint problem for angular data
Statistics & Probability Letters, 1996, 27, (1), 6165 View citations (2)
 An energy saving atmospheric evaporator utilizing low grade thermal or waste energy
Energy, 1996, 21, (12), 11071117 View citations (3)
 Between local and global logarithmic averages
Statistics & Probability Letters, 1996, 30, (4), 369378
 DarlingErdostype theorems for sums of Gaussian variables with longrange dependence
Stochastic Processes and their Applications, 1996, 63, (1), 117137 View citations (1)
 ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES
Statistics & Risk Modeling, 1996, 14, (2), 145160 View citations (9)
 On the Rate of Approximations for Maximum Likelihood Tests in ChangePoint Models
Journal of Multivariate Analysis, 1996, 56, (1), 120152 View citations (8)
1995
 Weight functions and pathwise local central limit theorems
Stochastic Processes and their Applications, 1995, 59, (1), 105123 View citations (6)
1994
 A note on dichotomy theorems for integrals of stable processes
Statistics & Probability Letters, 1994, 19, (1), 4549
 An application of the maximum likelihood test to the changepoint problem
Stochastic Processes and their Applications, 1994, 50, (1), 161171 View citations (4)
 Limit theorems for change in linear regression
Journal of Multivariate Analysis, 1994, 48, (1), 4369 View citations (4)
1993
 Change in autoregressive processes
Stochastic Processes and their Applications, 1993, 44, (2), 221242 View citations (1)
 Convergence of integrals of uniform empirical and quantile processes
Stochastic Processes and their Applications, 1993, 45, (2), 283294 View citations (1)
1992
 A goodnessoffit test for exponential families
Statistics & Probability Letters, 1992, 15, (3), 235239
 Rényitype empirical processes
Journal of Multivariate Analysis, 1992, 41, (2), 338358
 Strong Approximations of Open Queueing Networks
Mathematics of Operations Research, 1992, 17, (2), 487508
1991
 On the asymptotic distributions of weighted uniform multivariate empirical processes
Journal of Multivariate Analysis, 1991, 36, (1), 127143
 Rate of convergence in limit theorems for Brownian excursions
Stochastic Processes and their Applications, 1991, 39, (1), 5564
 Short distances on the line
Stochastic Processes and their Applications, 1991, 39, (1), 6580
 TESTS OF FIT FOR COMPOSITE HYPOTHESES WITH CENSORED DATA
Statistics & Risk Modeling, 1991, 9, (12), 2144
1990
 Confidence bands for quantile function under random censorship
Annals of the Institute of Statistical Mathematics, 1990, 42, (1), 2136
1989
 On best possible approximations of local time
Statistics & Probability Letters, 1989, 8, (4), 301306
 The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability
Journal of Multivariate Analysis, 1989, 31, (1), 148159 View citations (1)
1988
 A note on strong approximations of multivariate empirical processes
Stochastic Processes and their Applications, 1988, 28, (1), 101109
 Asymptotics for Lpnorms of kernel estimators of densities
Computational Statistics & Data Analysis, 1988, 6, (3), 241250
 Asymptotics of conditional empirical processes
Journal of Multivariate Analysis, 1988, 26, (2), 184206 View citations (6)
 CONVERGENCE OF THE EMPIRICAL AND QUANTILE DISTRIBUTIONS TO POISSON MEASURES
Statistics & Risk Modeling, 1988, 6, (12), 129136
 Invariance principles for changepoint problems
Journal of Multivariate Analysis, 1988, 27, (1), 151168 View citations (4)
1987
 Approximation of intermediate quantile processes
Journal of Multivariate Analysis, 1987, 21, (2), 250262
 On the tail behaviour of quantile processes
Stochastic Processes and their Applications, 1987, 25, 5772
 Stability and instability of local time of random walk in random environment
Stochastic Processes and their Applications, 1987, 25, 185202 View citations (1)
1986
 Approximations of weighted empirical and quantile processes
Statistics & Probability Letters, 1986, 4, (6), 275280 View citations (3)
 Estimates for the probability of ruin starting with a large initial reserve
Insurance: Mathematics and Economics, 1986, 5, (4), 285293
 Estimation of influence functions
Statistics & Probability Letters, 1986, 4, (2), 8185
 How large must be the difference between local time and mesure du voisinage of Brownian motion?
Statistics & Probability Letters, 1986, 4, (4), 161166
1985
 Approximation for Abel sums of independent, identically distributed random variables
Statistics & Probability Letters, 1985, 3, (4), 221225
 Strong approximations of the quantile process of the productlimit estimator
Journal of Multivariate Analysis, 1985, 16, (2), 185210 View citations (4)
1984
 Strong approximation of certain stopped sums
Statistics & Probability Letters, 1984, 2, (3), 181185
 Strong approximation of renewal processes
Stochastic Processes and their Applications, 1984, 18, (1), 127138 View citations (2)
1983
 The rate of strong uniform consistency for the multivariate productlimit estimator
Journal of Multivariate Analysis, 1983, 13, (1), 202209 View citations (2)

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