Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2008): Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space.
Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2009): Merits and drawbacks of variance targeting in GARCH models.
Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2014): Variance targeting estimation of multivariate GARCH models.
Aue, Alexander and Horvath, Lajos and Pellatt, Daniel (2015): Functional generalized autoregressive conditional heteroskedasticity.
Barassi, Marco and Horvath, Lajos and Zhao, Yuqian (2018): Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Forthcoming in: Journal of Business and Economic Statistics
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