Long Memory Characteristics in the Korean Stock Market Volatility |
Cho, Sinsup
(Department of Statistics, Seoul National University)
Choe, Hyuk (College of Business Administration, Seoul National University) Park, Joon Y (School of Economics, Seoul National University) |
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The estimation and application of long memory time series models
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DOI |
2 |
Bias in an estimator of the fractional difference parameter
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DOI |
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AFRIMA with GARCH-M모형을 통한 주가변동위험의 추정
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Log-periodogram regression of time series wit long range dependence
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DOI ScienceOn |
5 |
On the periodogram regression estimator of the memory parameter in long memory stochastic volatlity models
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DOI |
6 |
A central limit theorem for quadratic form in strongly dependent linear variables and its application to Whittle's estimate
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DOI |
7 |
The mean squared error of Geweke and Porter-Hudak's estimator of the momory parameter of a long-memory time series
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DOI ScienceOn |
8 |
Modelling and pricing long memory in stock market volatility
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DOI ScienceOn |
9 |
Generalized autoregressive conditional heteroskedastivity
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DOI ScienceOn |
10 |
Estimation of long memory in volatility
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11 |
A central limit theorem for parameter estimation in stationary vector time series and its application to model for a signal observed with noise
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DOI ScienceOn |
12 |
Modified log periodegram regression
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13 |
Long memory in stochastic volatility
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14 |
Discrimination between monotonic trends and long-range dependence
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DOI ScienceOn |
15 |
The detection and estimation of long memory in stochastic volatility
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DOI ScienceOn |
16 |
Conditional heteroskedasticity in asset returns : A new approach
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DOI ScienceOn |
17 |
Log peroidogram regression : the nonstationary case
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18 |
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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DOI ScienceOn |
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20 |
Fractionally integrated generalized autoregressive conditional heteroscedasticity
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DOI ScienceOn |
21 |
A limit theory for long range dependence and statistical inference on related models
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DOI ScienceOn |
22 |
The cumulants of the z and of the logarithmic x² and t distributions
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23 |
An introduction to long memory time series models and fractional differencing
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DOI |
24 |
Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
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DOI ScienceOn |
25 |
주가의 장기기억과 분수적분 일잔자기희귀 조건부 이분산 : 주가결정과정에 대한 한 탐구
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Large sample properties of parameter estimates for storongly dependent stationary Gaussian time series
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DOI ScienceOn |
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