MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES
By Lajos Horv'ath, Piotr Kokoszka, Aonan Zhang. Econometric Theory, 2006
54 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/a76eac691ae7611142d9899c8b0b402a118b9bec
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lajos Horv'ath
- Alan M. Taylor
- Giuseppe Cavaliere
- Robert J. Taylor
- Alexander Aue
- Fangfang Wang
- István Berkes
- Eric Ghysels
In Finance
- Lajos Horv'ath
- Alexander Aue
- Giuseppe Cavaliere
- Alan M. Taylor
- István Berkes
- Fangfang Wang
- Gregory Rice
- Eric Ghysels
In Statistics and Probability
- Lajos Horv'ath
- Alexander Aue
- Giuseppe Cavaliere
- Alan M. Taylor
- István Berkes
- Fangfang Wang
- Robert J. Taylor
- Eric Ghysels
Citations in the corpus
- On the Economic Sources of Stock Market Volatility (2009, unknown): “14For evidence on breaks in (1) volatility see e.g. Lamoureux and Lastrapes (1990), Andreou and Ghysels (2002), Horvath, Kokoszka, and Zhang (2006), (2) the shape of the option smile see e.g. Bates (2000) and (3) the equity premium see e.g. Pastor and Stambaugh (2001), Chang-Jin, Morley, and Nelson…”
- Strong approximation for the sums of squares of augmented GARCH sequences (2006, background): “In addition, strong approximations can also be used to develope sequential monitoring procedures (see Berkes et al. (2004; Aue and Horváth 2004; Aue et al. 2005; and Horváth et al. (2006).”
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014, background): “362 c© Cambridge University Press 2014 Horvath, Kokoszka, and Teyssière (2001), Horvath, Kokoszka, and Zhang (2006), Inclan and Tiao (1994), Kokoszka and Leipus (2000), and Kulperger and Yu (2005), among others.”
- Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (2008, background): “Their approach has also been extended by Loretan and Phillips (1994), who propose statistics equivalent to HR and HKS; see also Horváth et al. (2006).”
- Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, methodology): “…to specify 13 AC C EP TE D M AN U SC R IP T any parametric model for volatility nor to perform any pre-test, such as for example the test of Horváth et al. (2006), for the presence of non-stationary volatility.4 Our bootstrap tests for both the known and unknown changepoint cases are…”