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Details about Lajos Horvath

Workplace:University of Utah

Access statistics for papers by Lajos Horvath.

Last updated 2017-07-06. Update your information in the RePEc Author Service.

Short-id: pho286


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Working Papers

2017

  1. Structural breaks in panel data: Large number of panels and short length time series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2015

  1. Functional generalized autoregressive conditional heteroskedasticity
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Limit Laws in Transaction-Level Asset Price Models
    Post-Print, HAL Downloads
    See also Journal Article in Econometric Theory (2014)
  2. Variance targeting estimation of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2016)

2009

  1. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (7)

    See also Journal Article in Journal of Financial Econometrics (2011)
  2. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Theory (2010)

2008

  1. Sup-tests 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 Downloads

2003

  1. 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) Downloads

1999

  1. Empirical Process of the Squared Residuals of an ARCH Sequence
    G.R.E.Q.A.M., Universite Aix-Marseille III
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (3)

Journal Articles

2017

  1. ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS
    Econometric Theory, 2017, 33, (02), 366-412 Downloads View citations (1)

2016

  1. Adaptive bandwidth selection in the long run covariance estimator of functional time series
    Computational Statistics & Data Analysis, 2016, 100, (C), 676-693 Downloads View citations (1)
  2. On the asymptotic normality of kernel estimators of the long run covariance of functional time series
    Journal of Multivariate Analysis, 2016, 144, (C), 150-175 Downloads
  3. Statistical inference in a random coefficient panel model
    Journal of Econometrics, 2016, 193, (1), 54-75 Downloads View citations (1)
  4. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 Downloads View citations (1)
    See also Working Paper (2014)

2015

  1. TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES
    Journal of Time Series Analysis, 2015, 36, (1), 84-108 Downloads View citations (1)
  2. Testing for independence between functional time series
    Journal of Econometrics, 2015, 189, (2), 371-382 Downloads View citations (5)

2014

  1. 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), 219-255 Downloads View citations (5)
  2. Functional data analysis with increasing number of projections
    Journal of Multivariate Analysis, 2014, 124, (C), 313-332 Downloads View citations (4)
  3. LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
    Econometric Theory, 2014, 30, (03), 536-579 Downloads
    See also Working Paper (2014)
  4. On the central limit theorem for modulus trimmed sums
    Statistics & Probability Letters, 2014, 86, (C), 61-67 Downloads
  5. 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), 287-290 Downloads View citations (5)
  6. Testing stationarity of functional time series
    Journal of Econometrics, 2014, 179, (1), 66-82 Downloads View citations (8)

2013

  1. A FUNCTIONAL VERSION OF THE ARCH MODEL
    Econometric Theory, 2013, 29, (02), 267-288 Downloads View citations (6)
  2. Change-point detection in multinomial data using phi-divergence test statistics
    Journal of Multivariate Analysis, 2013, 118, (C), 53-66 Downloads View citations (2)
  3. Estimation of the mean of functional time series and a two-sample problem
    Journal of the Royal Statistical Society Series B, 2013, 75, (1), 103-122 Downloads View citations (12)
  4. Structural breaks in time series
    Journal of Time Series Analysis, 2013, 34, (1), 1-16 Downloads View citations (14)
  5. Test of independence for functional data
    Journal of Multivariate Analysis, 2013, 117, (C), 100-119 Downloads View citations (3)
  6. Testing the Equality of Covariance Operators in Functional Samples
    Scandinavian Journal of Statistics, 2013, 40, (1), 138-152 Downloads View citations (3)
  7. Weak invariance principles for sums of dependent random functions
    Stochastic Processes and their Applications, 2013, 123, (2), 385-403 Downloads View citations (8)

2012

  1. Change-point detection in panel data
    Journal of Time Series Analysis, 2012, 33, (4), 631-648 Downloads View citations (1)
  2. Detecting changes in functional linear models
    Journal of Multivariate Analysis, 2012, 111, (C), 310-334 Downloads View citations (1)
  3. SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
    Econometric Theory, 2012, 28, (04), 804-837 Downloads View citations (6)
  4. Segmenting mean-nonstationary time series via trending regressions
    Journal of Econometrics, 2012, 168, (2), 367-381 Downloads View citations (2)
  5. The central limit theorem for sums of trimmed variables with heavy tails
    Stochastic Processes and their Applications, 2012, 122, (2), 449-465 Downloads View citations (2)

2011

  1. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 Downloads View citations (23)
    See also Working Paper (2009)
  2. Testing for structural change of AR model to threshold AR model
    Journal of Time Series Analysis, 2011, 32, (5), 547-565 View citations (1)

2010

  1. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Econometric Theory, 2010, 26, (04), 965-993 Downloads
    See also Working Paper (2009)
  2. Testing the stability of the functional autoregressive process
    Journal of Multivariate Analysis, 2010, 101, (2), 352-367 Downloads View citations (8)

2009

  1. Delay times of sequential procedures for multiple time series regression models
    Journal of Econometrics, 2009, 149, (2), 174-190 Downloads View citations (3)
  2. Detecting changes in the mean of functional observations
    Journal of the Royal Statistical Society Series B, 2009, 71, (5), 927-946 Downloads View citations (12)
  3. 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), 546-567 Downloads View citations (1)
  4. Estimation in nonstationary random coefficient autoregressive models
    Journal of Time Series Analysis, 2009, 30, (4), 395-416 Downloads View citations (10)
  5. Estimation of a change-point in the mean function of functional data
    Journal of Multivariate Analysis, 2009, 100, (10), 2254-2269 Downloads View citations (4)
  6. ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
    Econometric Theory, 2009, 25, (02), 411-441 Downloads

2008

  1. ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS
    Econometric Theory, 2008, 24, (06), 1607-1627 Downloads
  2. 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), 515-530 Downloads View citations (1)
  3. The functional central limit theorem for a family of GARCH observations with applications
    Statistics & Probability Letters, 2008, 78, (16), 2725-2730 Downloads View citations (2)

2007

  1. Limit theorems for permutations of empirical processes with applications to change point analysis
    Stochastic Processes and their Applications, 2007, 117, (12), 1870-1888 Downloads View citations (2)
  2. On sequential detection of parameter changes in linear regression
    Statistics & Probability Letters, 2007, 77, (9), 885-895 Downloads View citations (4)
  3. Rescaled range analysis in the presence of stochastic trend
    Statistics & Probability Letters, 2007, 77, (12), 1165-1175 Downloads

2006

  1. Change-point monitoring in linear models
    Econometrics Journal, 2006, 9, (3), 373-403 Downloads View citations (11)
  2. Estimation in Random Coefficient Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (1), 61-76 Downloads View citations (10)
  3. Sample and Implied Volatility in GARCH Models
    Journal of Financial Econometrics, 2006, 4, (4), 617-635 Downloads View citations (6)
  4. Testing for stochastic dominance using the weighted McFadden-type statistic
    Journal of Econometrics, 2006, 133, (1), 191-205 Downloads View citations (25)

2004

  1. Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models
    Statistics & Probability Letters, 2004, 66, (2), 91-103 Downloads
    Also in Statistics & Probability Letters, 2003, 65, (4), 331-342 (2003) Downloads
  2. Delay time in sequential detection of change
    Statistics & Probability Letters, 2004, 67, (3), 221-231 Downloads View citations (13)
  3. Testing for parameter constancy in GARCH(p,q) models
    Statistics & Probability Letters, 2004, 70, (4), 263-273 Downloads View citations (5)

2003

  1. A bootstrap approximation to a unit root test statistic for heavy-tailed observations
    Statistics & Probability Letters, 2003, 62, (2), 163-173 Downloads View citations (7)
  2. Limit results for the empirical process of squared residuals in GARCH models
    Stochastic Processes and their Applications, 2003, 105, (2), 271-298 Downloads View citations (5)
  3. The rate of consistency of the quasi-maximum likelihood estimator
    Statistics & Probability Letters, 2003, 61, (2), 133-143 Downloads View citations (12)

2001

  1. Change-Point Detection in Angular Data
    Annals of the Institute of Statistical Mathematics, 2001, 53, (3), 552-566 Downloads
  2. Change-Point Detection in Long-Memory Processes
    Journal of Multivariate Analysis, 2001, 78, (2), 218-234 Downloads View citations (3)
  3. On the estimation of spread rate for a biological population
    Statistics & Probability Letters, 2001, 51, (3), 225-234 Downloads
  4. The logarithmic average of sample extremes is asymptotically normal
    Stochastic Processes and their Applications, 2001, 91, (1), 77-98 Downloads View citations (3)

2000

  1. Approximations for weighted bootstrap processes with an application
    Statistics & Probability Letters, 2000, 48, (1), 59-70 Downloads View citations (3)

1999

  1. Limit theorems for short distances in
    Statistics & Probability Letters, 1999, 45, (3), 261-268 Downloads
  2. On the best approximation for bootstrapped empirical processes
    Statistics & Probability Letters, 1999, 41, (2), 117-122 Downloads View citations (1)
  3. Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes
    Journal of Multivariate Analysis, 1999, 68, (1), 96-119 Downloads View citations (13)

1998

  1. Almost sure central limit theorems under minimal conditions
    Statistics & Probability Letters, 1998, 37, (1), 67-76 Downloads View citations (4)
  2. Logarithmic averages of stable random variables are asymptotically normal
    Stochastic Processes and their Applications, 1998, 77, (1), 35-51 Downloads View citations (1)

1997

  1. Detection of Changes in Linear Sequences
    Annals of the Institute of Statistical Mathematics, 1997, 49, (2), 271-283 Downloads View citations (6)
  2. INTEGRAL TESTS FOR SUPREMA OF KIEFER PROCESSES WITH APPLICATION
    Statistics & Risk Modeling, 1997, 15, (4), 365-378 Downloads View citations (1)
  3. The use of a thermal energy recycle unit in conjunction with a basin-type solar still for enhanced productivity
    Energy, 1997, 22, (1), 83-91 Downloads View citations (2)

1996

  1. A note on the change-point problem for angular data
    Statistics & Probability Letters, 1996, 27, (1), 61-65 Downloads View citations (2)
  2. An energy saving atmospheric evaporator utilizing low grade thermal or waste energy
    Energy, 1996, 21, (12), 1107-1117 Downloads View citations (3)
  3. Between local and global logarithmic averages
    Statistics & Probability Letters, 1996, 30, (4), 369-378 Downloads
  4. Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence
    Stochastic Processes and their Applications, 1996, 63, (1), 117-137 Downloads View citations (1)
  5. ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES
    Statistics & Risk Modeling, 1996, 14, (2), 145-160 Downloads View citations (9)
  6. On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models
    Journal of Multivariate Analysis, 1996, 56, (1), 120-152 Downloads View citations (8)

1995

  1. Weight functions and pathwise local central limit theorems
    Stochastic Processes and their Applications, 1995, 59, (1), 105-123 Downloads View citations (6)

1994

  1. A note on dichotomy theorems for integrals of stable processes
    Statistics & Probability Letters, 1994, 19, (1), 45-49 Downloads
  2. An application of the maximum likelihood test to the change-point problem
    Stochastic Processes and their Applications, 1994, 50, (1), 161-171 Downloads View citations (4)
  3. Limit theorems for change in linear regression
    Journal of Multivariate Analysis, 1994, 48, (1), 43-69 Downloads View citations (4)

1993

  1. Change in autoregressive processes
    Stochastic Processes and their Applications, 1993, 44, (2), 221-242 Downloads View citations (1)
  2. Convergence of integrals of uniform empirical and quantile processes
    Stochastic Processes and their Applications, 1993, 45, (2), 283-294 Downloads View citations (1)

1992

  1. A goodness-of-fit test for exponential families
    Statistics & Probability Letters, 1992, 15, (3), 235-239 Downloads
  2. Rényi-type empirical processes
    Journal of Multivariate Analysis, 1992, 41, (2), 338-358 Downloads
  3. Strong Approximations of Open Queueing Networks
    Mathematics of Operations Research, 1992, 17, (2), 487-508 Downloads

1991

  1. On the asymptotic distributions of weighted uniform multivariate empirical processes
    Journal of Multivariate Analysis, 1991, 36, (1), 127-143 Downloads
  2. Rate of convergence in limit theorems for Brownian excursions
    Stochastic Processes and their Applications, 1991, 39, (1), 55-64 Downloads
  3. Short distances on the line
    Stochastic Processes and their Applications, 1991, 39, (1), 65-80 Downloads
  4. TESTS OF FIT FOR COMPOSITE HYPOTHESES WITH CENSORED DATA
    Statistics & Risk Modeling, 1991, 9, (1-2), 21-44 Downloads

1990

  1. Confidence bands for quantile function under random censorship
    Annals of the Institute of Statistical Mathematics, 1990, 42, (1), 21-36 Downloads

1989

  1. On best possible approximations of local time
    Statistics & Probability Letters, 1989, 8, (4), 301-306 Downloads
  2. The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability
    Journal of Multivariate Analysis, 1989, 31, (1), 148-159 Downloads View citations (1)

1988

  1. A note on strong approximations of multivariate empirical processes
    Stochastic Processes and their Applications, 1988, 28, (1), 101-109 Downloads
  2. Asymptotics for Lp-norms of kernel estimators of densities
    Computational Statistics & Data Analysis, 1988, 6, (3), 241-250 Downloads
  3. Asymptotics of conditional empirical processes
    Journal of Multivariate Analysis, 1988, 26, (2), 184-206 Downloads View citations (6)
  4. CONVERGENCE OF THE EMPIRICAL AND QUANTILE DISTRIBUTIONS TO POISSON MEASURES
    Statistics & Risk Modeling, 1988, 6, (1-2), 129-136 Downloads
  5. Invariance principles for changepoint problems
    Journal of Multivariate Analysis, 1988, 27, (1), 151-168 Downloads View citations (4)

1987

  1. Approximation of intermediate quantile processes
    Journal of Multivariate Analysis, 1987, 21, (2), 250-262 Downloads
  2. On the tail behaviour of quantile processes
    Stochastic Processes and their Applications, 1987, 25, 57-72 Downloads
  3. Stability and instability of local time of random walk in random environment
    Stochastic Processes and their Applications, 1987, 25, 185-202 Downloads View citations (1)

1986

  1. Approximations of weighted empirical and quantile processes
    Statistics & Probability Letters, 1986, 4, (6), 275-280 Downloads View citations (3)
  2. Estimates for the probability of ruin starting with a large initial reserve
    Insurance: Mathematics and Economics, 1986, 5, (4), 285-293 Downloads
  3. Estimation of influence functions
    Statistics & Probability Letters, 1986, 4, (2), 81-85 Downloads
  4. How large must be the difference between local time and mesure du voisinage of Brownian motion?
    Statistics & Probability Letters, 1986, 4, (4), 161-166 Downloads

1985

  1. Approximation for Abel sums of independent, identically distributed random variables
    Statistics & Probability Letters, 1985, 3, (4), 221-225 Downloads
  2. Strong approximations of the quantile process of the product-limit estimator
    Journal of Multivariate Analysis, 1985, 16, (2), 185-210 Downloads View citations (4)

1984

  1. Strong approximation of certain stopped sums
    Statistics & Probability Letters, 1984, 2, (3), 181-185 Downloads
  2. Strong approximation of renewal processes
    Stochastic Processes and their Applications, 1984, 18, (1), 127-138 Downloads View citations (2)

1983

  1. The rate of strong uniform consistency for the multivariate product-limit estimator
    Journal of Multivariate Analysis, 1983, 13, (1), 202-209 Downloads View citations (2)
 
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