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Results 1-3 of 3 (Search time: 0.012 seconds).
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2015
Citation
STATISTICS & PROBABILITY LETTERS, v.99, pp.167 - 176
Publisher
ELSEVIER SCIENCE BV
Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2018
Citation
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, v.47, no.21, pp.5378 - 5389
Publisher
TAYLOR & FRANCIS INC
Infinite-order, long-memory heterogeneous autoregressive models
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2014
Citation
COMPUTATIONAL STATISTICS & DATA ANALYSIS, v.76, pp.339 - 358
Publisher
ELSEVIER SCIENCE BV
1
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Author
Hwang, Eun Ju
3
Shin, Dong Wan
3
Subject
EXCHANGE
3
REALIZED VOLATILITY
3
HAR model
2
Realized volatility
2
RETURNS
2
Asymptotic property
1
CUSUM
1
HAR-RV model
1
Least squares estimator
1
Long-memory
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