Lajos Horváth

University of Utah - Department of Mathematics

1645 E. Campus Center

Salt Lake City, UT 84112

United States

SCHOLARLY PAPERS

13

DOWNLOADS

280

SSRN CITATIONS
Rank 14,874

SSRN RANKINGS

Top 14,874

in Total Papers Citations

3

CROSSREF CITATIONS

58

Scholarly Papers (13)

1.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 90 (294,108)

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

2.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 54 (388,748)

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

3.

Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. CEDER-09-02
Number of pages: 22 Posted: 08 Jun 2009
Alexander Aue, Lajos Horváth and Clifford M. Hurvich
University of California, Davis, University of Utah - Department of Mathematics and Stern School of Business, New York University
Downloads 37 (452,296)

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4.
Downloads 29 (489,278)
Citation 1

Limit Laws in Trasnaction-Level Asset Price Models

NYU Working Paper No. 2451/31584
Number of pages: 49 Posted: 10 Sep 2013
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 17 (579,733)

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Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. SOR-2012-02
Number of pages: 49 Posted: 21 Jul 2012
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 12 (614,824)

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5.

Time-Varying Beta in Functional Factor Models: Evidence from China

Number of pages: 37 Posted: 12 Nov 2019
Lajos Horváth, Bo Li, Hemei Li and Zhenya Liu
University of Utah - Department of Mathematics, Beijing International Studies University, Renmin University of China - School of Finance and Renmin University of China
Downloads 24 (522,684)

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Functional Factor Models, Time-Varying Beta, Functional Data Analysis

6.

Estimation in Random Coefficient Autoregressive Models

Journal of Time Series Analysis, Vol. 27, No. 1, pp. 61-76, January 2006
Number of pages: 16 Posted: 11 Apr 2006
Alexander Aue, Lajos Horváth and Josef Steinebach
University of Utah - Department of Mathematics, University of Utah - Department of Mathematics and University of Cologne - Department of Mathematics
Downloads 23 (522,684)
Citation 1
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7.

Change-Point Monitoring in Linear Models

Econometrics Journal, Vol. 9, No. 3, pp. 373-403, November 2006
Number of pages: 31 Posted: 01 Nov 2006
Clemson University, University of Utah - Department of Mathematics, Charles University in Prague and Utah State University - Department of Mathematics & Statistics
Downloads 13 (584,127)
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8.

Structural Breaks in Panel Data: Large Number of Panels and Short Length Time Series

CEPR Discussion Paper No. DP11891
Number of pages: 32 Posted: 16 Mar 2017
Charles University in Prague - Faculty of Mathematics and Physics, CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), University of Utah - Department of Mathematics, Charles University in Prague and University of Reading - Department of Economics
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Change point problem, stationarity, panel data, bootstrap, four factor CAPM model, US mutual funds

9.

Estimation in Nonstationary Random Coefficient Autoregressive Models

Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 395-416, July 2009
Number of pages: 22 Posted: 20 Jun 2009
István Berkes, Lajos Horváth and Shiqing Ling
affiliation not provided to SSRN, University of Utah - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 3 (652,656)
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10.

Sequential Monitoring of Changes in Housing Prices

Number of pages: 47
Lajos Horváth, Zhenya Liu and Shanglin Lu
University of Utah - Department of Mathematics, Renmin University of China and Renmin University of China - School of Finance
Downloads 2

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Sequential Change Point Detection, Weak Dependence, Linear Model, Autoregressive Model, Real Estate Market

11.

Testing Normality of Functional Time Series

Journal of Time Series Analysis, Vol. 39, Issue 4, pp. 471-487, 2018
Number of pages: 17 Posted: 12 Jun 2018
Adam Mickiewicz University, Graz University of Technology, University of Utah - Department of Mathematics and Utah State University - Department of Mathematics & Statistics
Downloads 1 (674,193)
Citation 2
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Functional data, Jarque–Bera test, normal distribution, time series

12.

Change‐Point Detection in Panel Data

Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 631-648, 2012
Number of pages: 18 Posted: 15 Jun 2012
Lajos Horváth and Marie Hušková
University of Utah - Department of Mathematics and affiliation not provided to SSRN
Downloads 1 (674,193)
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Panel date, change in the mean, linear processes, weak convergence, CUSUM process, 62M10, 62F05, 60F17

13.

Change Point Tests in Functional Factor Models with Application to Yield Curves

The Econometrics Journal, Vol. 20, Issue 1, pp. 86-117, 2017
Number of pages: 32 Posted: 22 Mar 2017
University of Texas at Austin, University of Utah - Department of Mathematics, Utah State University - Department of Mathematics & Statistics and Columbia University
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Change point, Functional time series, Yield curve