Variance targeting estimation of multivariate GARCH models.See also Journal Article in Econometric Theory (2014) Limit Laws in Transaction-Level Asset Price Models.See also Journal Article in Journal of Time Series Analysis (2017) Functional generalized autoregressive conditional heteroskedasticity.See also Journal Article in Econometric Reviews (2019) Structural breaks in panel data: Large number of panels and short length time seriesĬEPR Discussion Papers, C.E.P.R.See also Journal Article in Journal of Econometrics (2019) Testing for randomness in a random coefficient autoregression modelÄiscussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics.See also Journal Article in Journal of Business & Economic Statistics (2020) MPRA Paper, University Library of Munich, Germany Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models.See also Journal Article in Review of Quantitative Finance and Accounting (2020) A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis.See also Journal Article in International Journal of Forecasting (2020) A functional time series analysis of forward curves derived from commodity futures.See also Journal Article in Econometric Theory (2022) SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S.See also Journal Article in Finance Research Letters (2022) How to identify the different phases of stock market bubbles statistically?.Detecting common breaks in the means of high dimensional cross-dependent panels.Changepoint detection in random coefficient autoregressive models.Jump to Journal Articles Working Papers 2021 Update your information in the RePEc Author Service. Access statistics for papers by Lajos Horvath.
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