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I. Berkés · Study
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Author
I. Berkés
15 works
· latest 2011
· 4 institutions
cluster: provisional
ORCID 0000-0002-8443-9664
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15
Citations
1,433
Works here
15
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11
Most cited in this library
GARCH processes: structure and estimation
2003 · 482 citations
The efficiency of the estimators of the parameters in GARCH processes
2004 · 176 citations
On discriminating between long-range dependence and changes in mean
2006 · 160 citations
SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
2004 · 143 citations
Strong approximation for the sums of squares of augmented GARCH sequences
2006 · 79 citations
Works
15 shown
Asymptotics of trimmed CUSUM statistics
Bernoulli
·
2011
·
1 author
·
Open access
13
citations
Testing for structural change of AR model to threshold AR model
Journal of Time Series Analysis
·
2011
·
4 authors
16
citations
Testing for changes in the covariance structure of linear processes
Journal of Statistical Planning and Inference
·
2008
·
3 authors
75
citations
The functional central limit theorem for a family of GARCH observations with applications
Statistics & Probability Letters
·
2008
·
3 authors
·
Open access
32
citations
Strong approximation for the sums of squares of augmented GARCH sequences
Bernoulli
·
2006
·
3 authors
·
Open access
79
citations
On discriminating between long-range dependence and changes in mean
The Annals of Statistics
·
2006
·
4 authors
·
Open access
160
citations
SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
Econometric Theory
·
2004
·
4 authors
143
citations
Testing for parameter constancy in GARCH() models
Statistics & Probability Letters
·
2004
·
3 authors
67
citations
The efficiency of the estimators of the parameters in GARCH processes
The Annals of Statistics
·
2004
·
2 authors
·
Open access
176
citations
ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
Econometric Theory
·
2003
·
3 authors
50
citations
ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
Econometric Theory
·
2003
·
3 authors
30
citations
Limit results for the empirical process of squared residuals in GARCH models
Stochastic Processes and their Applications
·
2003
·
2 authors
·
Open access
38
citations
Asymptotic results for long memory LARCH sequences
The Annals of Applied Probability
·
2003
·
2 authors
27
citations
GARCH processes: structure and estimation
Bernoulli
·
2003
·
3 authors
·
Open access
482
citations
The rate of consistency of the quasi-maximum likelihood estimator
Statistics & Probability Letters
·
2002
·
2 authors
45
citations