Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 5.

2008

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.

2009

Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2009): Merits and drawbacks of variance targeting in GARCH models.

6 August 2014

Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2014): Variance targeting estimation of multivariate GARCH models.

20 August 2015

Aue, Alexander and Horvath, Lajos and Pellatt, Daniel (2015): Functional generalized autoregressive conditional heteroskedasticity.

11 July 2018

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

This list was generated on Wed Nov 20 18:33:54 2019 CET.
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