12 citations · 21 across the 3 of their papers we have counts for
4 papers
Estimation in nonstationary random coefficient autoregressive models
Istvan Berkes, Lajos Horvath, Shiqing Ling
We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter…
Selection from a stable box
Alexander Aue, István Berkes, Lajos Horváth
Let be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly…
Near-integrated GARCH sequences
Istvan Berkes, Lajos Horvath, Piotr Kokoszka
Motivated by regularities observed in time series of returns on speculative assets, we develop an asymptotic theory of GARCH(1,1) processes {y_k} defined by the equations y_k=σ_kε_…
The efficiency of the estimators of the parameters in GARCH processes
István Berkes, Lajos Horváth
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-…