Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Research output

Research output per year 2000 2003 2004 2006 2011 2012 2014

• 31 Article
• 3 Poster
• 2 Chapter
• 1 Conference paper
• 2 More
  • 1 Bachelor's Thesis
  • 1 Diploma Thesis

Research output per year

Research output per year

Search results

• 2014

  Trimmed stable AR(1) processes

  Bazarova, A., Berkes, I. & Horvath, L., 2014, In: Stochastic Processes and their Applications . 124, 10, p. 3441-3462

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Heavy Tail 100%
  • Autoregressive Model 100%
  • Independent Innovation 100%
• 2013

  Limit theorems for aggregated linear processes

  Jirak, J. M., 2013, In: Advances in Applied Probability. 45, 2, p. 520-544

  Research output: Contribution to journal › Article › peer-review

• Weak invariance principles for sums of dependent random functions.

  Berkes, I., Horvath, L. & Rice, G., 2013, In: Stochastic Processes and their Applications . 123, 2, p. 385-403

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Random Function 100%
  • Bernoulli Shift 50%
  • Functional Data 50%
• 2012

  Change-point analysis in increasing dimension

  Jirak, J. M., 2012, In: Journal of Multivariate Analysis. 111, p. 136-159

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Extremes of weighted Brownian bridges in increasing dimension

  Jirak, J. M., 2012, In: Extremes. 15, p. 491-509

  Research output: Contribution to journal › Article › peer-review

• Simultaneous confidence bands for Yule-Walker estimators and order selection

  Jirak, J. M., 2012, In: The Annals of Statistics. 40, 1, p. 494-528

  Research output: Contribution to journal › Article

• Trimming of dependent sequences and applications

  Bazarova, A., 2012.

  Research output: Contribution to conference › Poster

• Varianzoptimales Hedging in unvollständigen Marktmodellen

  Ableidinger, M., 2012

  Research output: Thesis › Bachelor's Thesis

  Open Access

  File
• 2011

  Asymptotic behavior of weakly dependent aggregated processes

  Jirak, J. M., 2011, In: Periodica Mathematica Hungarica. 62, 1, p. 39-60

  Research output: Contribution to journal › Article › peer-review

• Asymptotics of trimmed CUSUM statistics

  Berkes, I., Horvath, L. & Schauer, J., 2011, In: Bernoulli. 17, 4, p. 1344-1367

  Research output: Contribution to journal › Article › peer-review

• On the maximum of covariance estimators

  Jirak, J. M., 2011, In: Journal of Multivariate Analysis. 102, 6, p. 1032-1046

  Research output: Contribution to journal › Article › peer-review

• Split invariance principles for stationary processes

  Berkes, I., Hörmann, S. & Schauer, J., 2011, In: The Annals of Probability. 39, 6, p. 2441-2473

  Research output: Contribution to journal › Article › peer-review

• Testing for structural change of AR model to threshold AR models

  Berkes, I., Horvath, L., Ling, S. & Schauer, J., 2011, In: Journal of Time Series Analysis. 32, 5, p. 547-565

  Research output: Contribution to journal › Article › peer-review
• 2009

  Asymptotics of trimmed CUSUM statistics

  Schauer, J., 2009.

  Research output: Contribution to conference › Poster

• Limit theorems for aggregated processes

  Jirak, J. M., 2009.

  Research output: Contribution to conference › Poster

• Testing for the changes in the covariance structure of linear processes

  Berkes, I., Gombay, E. & Horváth, L., 2009, In: Journal of statistical planning and inference. 139, p. 2044-2063

  Research output: Contribution to journal › Article › peer-review
• 2006

  Asymptotic properties of augmented GARCH (1,1) sequences

  Hörmann, S., 2006, Prague Stochastics 2006. Prag: MATFYZPRESS, p. 407-417

  Research output: Chapter in Book/Report/Conference proceeding › Conference paper › peer-review

• Convergence of Integral Functionals of Stochastic Processes

  Berkes, I. & Horváth, L., 2006, In: Econometric theory. 22, p. 304-322

  Research output: Contribution to journal › Article › peer-review

• On discriminating between long-range dependence and changes in mean

  Berkes, I., Horváth, L., Kokoszka, P. & Shao, Q-M., 2006, In: The Annals of Statistics. 34, 3, p. 1140-1165

  Research output: Contribution to journal › Article

• Statistische Eigenschaften von augmented GARCH Prozessen

  Schauer, J., 2006

  Research output: Thesis › Diploma Thesis

• Strong approximation for the sums of squares of augmented GARCH sequences

  Aue, A., Berkes, I. & Horváth, L., 2006, In: Bernoulli. 12, 4, p. 583-608

  Research output: Contribution to journal › Article › peer-review
• 2005

  Almost sure convergence of the Bartlett estimator

  Berkes, I., Horvath, L., Kokoszka, P. & Shao, Q-M., 2005, In: Periodica Mathematica Hungarica. 51, 1, p. 11-25

  Research output: Contribution to journal › Article › peer-review

• Near-integrated GARCH sequences

  Berkes, I., Horváth, L. & Kokoszka, P., 2005, In: The Annals of Applied Probability. 15, 1B, p. 890-913

  Research output: Contribution to journal › Article › peer-review
• 2004

  Application of permutations to the simulations of critical values

  Berkes, I., Horváth, L., Husková, M. & Steinebach, J., 2004, In: Journal of nonparametric statistics. 16, p. 197-216

  Research output: Contribution to journal › Article › peer-review

• A weighted goodness-of-fit test for GARCH (1,1) specification

  Berkes, I., Horváth, L. & Kokoszka, P., 2004, In: Lithuanian Mathematical Journal. 44, p. 1-17

  Research output: Contribution to journal › Article › peer-review

• Probabilistic and statistical properties of GARCH processes

  Berkes, I., Horváth, L. & Kokoszka, P., 2004, Asymptotic methods in stochastics: Festschrift for Miklós Csörgö. Horváth, L. & Szyszkowicz, B. (eds.). American Mathematical Society, Vol. 44. p. 409-429 (Fields Institute communications).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• Sequential change-point detection in GARCH(p.q) models

  Berkes, I., Gombay, E., Horvath, L. & Kokoszka, P., 2004, In: Econometric theory. 20, 6, p. 1140-1167

  Research output: Contribution to journal › Article › peer-review

• Testing for parameter constancy in GARCH(p,q) models

  Berkes, I., Horváth, L. & Kokoszka, P., 2004, In: Statistics & Probability Letters. 70, 4, p. 263-273

  Research output: Contribution to journal › Article › peer-review

• The efficiency of extimators of parameters in GARCH processes

  Berkes, I. & Horváth, L., 2004, In: The Annals of Statistics. 43, p. S633-655

  Research output: Contribution to journal › Article

  Open Access

  • Maximum Likelihood Estimator 100%
  • Likelihood Estimator 100%
  • Quasi-Likelihood 50%
• 2003

  Approximations for the maximum of stochastic processes with drift

  Berkes, I. & Horváth, L., 2003, In: Kybernetika. 39, p. 299-307

  Research output: Contribution to journal › Article › peer-review

• Asymptotic Results for Long Memory Larch Sequences

  Berkes, I. & Horváth, L., 2003, In: The Annals of Applied Probability. 13, 2, p. 641-668

  Research output: Contribution to journal › Article › peer-review

• Asymptotics for GARCH squared residual correlations.

  Berkes, I., Horváth, L. & Kokoszka, P., 2003, In: Econometric theory. 19, p. 515-540

  Research output: Contribution to journal › Article › peer-review

• Estimation of the maximal moment exponent of a GARCH (1,1) sequence.

  Berkes, I., Horváth, L. & Kokoszka, P., 2003, In: Econometric theory. 19, 4, p. 565-586

  Research output: Contribution to journal › Article › peer-review

• GARCH processes: sturcture and estimation

  Berkes, I., Horváth, L. & Kokoszka, P., 2003, In: Bernoulli. 9, 2, p. 201-227

  Research output: Contribution to journal › Article › peer-review

• Limit results for the empirical process of squared residuals in GARCH models

  Berkes, I. & Horváth, L., 2003, In: Stochastic Processes and their Applications . 105, p. 271-298

  Research output: Contribution to journal › Article › peer-review

• The rate of consistency of the quasi maximum-likelihood estimator

  Berkes, I. & Horvath, L., 2003, In: Statistics & Probability Letters. Vol. 61, p. 133-143

  Research output: Contribution to journal › Article › peer-review
• 2002

  Empirical processes of residuals

  Berkes, I. & Horvath, L., 2002, Empirical Process Techniques for Dependent Data. Basel: Birkhäuser, p. 195-209

  Research output: Chapter in Book/Report/Conference proceeding › Chapter
• 2001

  Strong approximation of the empirical process of GARCH sequences

  Berkes, I. & Horvath, L., 2001, In: The Annals of Applied Probability. 11, p. 789-809

  Research output: Contribution to journal › Article › peer-review
• 2000

  Strong laws for Lp norms of empirical and related processes

  Berkes, I., Horvath, L., Shao, Q. M. & Steinebach, J., 2000, In: Periodica Mathematica Hungarica. 41, p. 35-69

  Research output: Contribution to journal › Article › peer-review