9 citations · 11 across the 12 of their papers we have counts for
13 papers
Changepoint detection in random coefficient autoregressive models
Lajos Horvath, Lorenzo Trapani
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressiv…
Sequential Monitoring of Changes in Housing Prices
Lajos Horváth, Zhenya Liu, Shanglin Lu
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoreg…
Change point detection in heteroscedastic time series
Tomasz Gorecki, Lajos Horvath, Piotr Kokoszka
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability ca…
Functional generalized autoregressive conditional heteroskedasticity
Alexander Aue, Lajos Horvath, Daniel Pellatt
Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently m…
On the asymptotic normality of kernel estimators of the long run covariance of functional time series
István Berkes, Lajos Horváth, Gregory Rice
We consider the asymptotic normality in of kernel estimators of the long run covariance kernel of stationary functional time series. Our results are established assuming a we…
Testing for independence between functional time series
Lajos Horvath, Greg Rice
Frequently econometricians are interested in verifying a relationship between two or more time series. Such analysis is typically carried out by causality and/or independence tests…