| Publication | Date of Publication | Type |
|---|
Quantile correlation coefficient: a new tail dependence measure
Statistical Papers | 2022-08-23 | Paper |
Bootstrapping volatility spillover index
Communications in Statistics. Simulation and Computation | 2022-07-04 | Paper |
Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
Communications in Statistics. Simulation and Computation | 2022-06-30 | Paper |
Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
Communications in Statistics: Theory and Methods | 2022-05-16 | Paper |
Nonparametric estimation of time varying correlation coefficient
Journal of the Korean Statistical Society | 2022-04-27 | Paper |
Block bootstrapping for a panel mean break test
Journal of the Korean Statistical Society | 2022-04-27 | Paper |
A general panel break test based on the self-normalization method
Journal of the Korean Statistical Society | 2022-04-27 | Paper |
A self-normalization break test for correlation matrix
Statistical Papers | 2021-12-27 | Paper |
A self-normalization test for correlation change
Economics Letters | 2020-11-03 | Paper |
A mean-difference test based on self-normalization for alternating regime index data sets
Economics Letters | 2020-11-03 | Paper |
Bayesian tests for unit root and multiple breaks
Journal of Applied Statistics | 2020-09-29 | Paper |
Identifying Differentially Expressed Genes in Meta-Analysis via Bayesian Model-Based Clustering
Biometrical Journal | 2020-09-24 | Paper |
An investigation on the allelic chi-square test used in genetic association studies
Biometrical Journal | 2020-09-23 | Paper |
Moving block bootstrapping for a CUSUM test for correlation change
Computational Statistics and Data Analysis | 2019-03-29 | Paper |
Quantile forecasts for financial volatilities based on parametric and asymmetric models
Journal of the Korean Statistical Society | 2019-02-19 | Paper |
Infinite-order, long-memory heterogeneous autoregressive models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Stationary bootstrapping for semiparametric panel unit root tests
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Forecasting realized volatility: a review
Journal of the Korean Statistical Society | 2018-11-12 | Paper |
Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates
Journal of Forecasting | 2018-10-12 | Paper |
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Journal of Econometrics | 2018-07-17 | Paper |
Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
Communications in Statistics. Simulation and Computation | 2018-06-01 | Paper |
Stationary bootstrapping for realized covariations of high frequency financial data
Statistics | 2018-01-12 | Paper |
Estimation of structural mean breaks for long-memory data sets
Statistics | 2018-01-12 | Paper |
Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
Metrika | 2017-12-01 | Paper |
Bootstrap forecast intervals for asymmetric volatilities via EGARCH model
Communications in Statistics: Theory and Methods | 2017-04-25 | Paper |
A CUSUM test for panel mean change detection
Journal of the Korean Statistical Society | 2017-02-09 | Paper |
An integrated heteroscedastic autoregressive model for forecasting realized volatilities
Journal of the Korean Statistical Society | 2016-07-29 | Paper |
Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
Journal of Econometrics | 2015-12-29 | Paper |
Imputation methods for quantile estimation under missing at random
Statistics and Its Interface | 2015-12-17 | Paper |
Efficiency of the OLSE for regressions on two-dimensional grids with sinusoidal regressors and spatially correlated errors
Metrika | 2015-10-14 | Paper |
Unit root tests for panel MTAR model with cross-sectionally dependent error
Metrika | 2015-10-14 | Paper |
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Economics Letters | 2015-10-05 | Paper |
Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
Journal of the Korean Statistical Society | 2015-08-07 | Paper |
Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
Statistics | 2015-07-20 | Paper |
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Statistics & Probability Letters | 2015-05-18 | Paper |
A bootstrap test for jumps in financial economics
Economics Letters | 2015-05-05 | Paper |
A note on exponential inequalities of \(\psi\)-weakly dependent sequences
Communications for Statistical Applications and Methods | 2015-02-12 | Paper |
Block bootstrapping for kernel density estimators under {\(\psi\)}-weak dependence
Communications in Statistics: Theory and Methods | 2014-11-26 | Paper |
Semiparametric estimation for partially linear models with \(\psi\)-weak dependent errors
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
A study on moment inequalities under a weak dependence
Journal of the Korean Statistical Society | 2014-08-06 | Paper |
ML estimation and an efficiency study for mean estimators in spatially correlated repeated arrays
Journal of the Korean Statistical Society | 2014-08-01 | Paper |
Tests for random time effects and spatial error correlation in panel regression models
Statistics | 2014-07-11 | Paper |
Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
Journal of Time Series Analysis | 2014-06-16 | Paper |
A CUSUM test for a long memory heterogeneous autoregressive model
Economics Letters | 2014-06-06 | Paper |
Robust panel unit root tests for cross-sectionally dependent multiple time series
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Tests for seasonal unit roots in panels of cross-sectionally correlated time series
Statistics | 2014-03-12 | Paper |
Stationary bootstrapping realized volatility
Statistics & Probability Letters | 2014-02-11 | Paper |
Stationary bootstrapping for cointegrating regressions
Statistics & Probability Letters | 2013-05-13 | Paper |
Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
Economics Letters | 2013-01-29 | Paper |
A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes
Economics Letters | 2013-01-28 | Paper |
Unit root tests for cross-sectionally dependent seasonal panels
Economics Letters | 2013-01-08 | Paper |
Tests for asymmetry in possibly nonstationary dynamic panel models
Economics Letters | 2013-01-07 | Paper |
Comparison of panel unit root tests under cross sectional dependence
Economics Letters | 2013-01-03 | Paper |
Recursive mean adjustment for panel unit root tests
Economics Letters | 2013-01-01 | Paper |
Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
Economics Letters | 2013-01-01 | Paper |
Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
Economics Letters | 2012-12-18 | Paper |
On cumulative residual Kullback-Leibler information
Statistics & Probability Letters | 2012-10-17 | Paper |
Optimal tests against the alternative hypothesis of panel unit roots
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
A robust sign test for panel unit roots under cross sectional dependence
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Protecting sensitive information in directory services using virtual directories
Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering | 2010-03-04 | Paper |
Unit root tests based on IV estimators for time series with multiple breaks
Journal of the Korean Statistical Society | 2009-10-30 | Paper |
Double unit root tests for cross-sectionally dependent panel data
Journal of Applied Statistics | 2009-10-21 | Paper |
Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
Computational Statistics and Data Analysis | 2008-11-26 | Paper |
Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach
Journal of Applied Statistics | 2007-10-09 | Paper |
Bayesian analysis of panel data using an MTAR model
Journal of Applied Statistics | 2007-09-11 | Paper |
A sign test for unit roots in a seasonal MTAR model
Journal of the Korean Statistical Society | 2007-07-31 | Paper |
Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
Statistics & Probability Letters | 2007-03-12 | Paper |
A sign test for unit roots in a momentum threshold autoregressive process
Statistics & Probability Letters | 2006-06-16 | Paper |
A Generalized Estimating Equations Approach for Testing Ordered Group Effects with Repeated Measurements
Biometrics | 2005-04-11 | Paper |
Estimation of spectral density for seasonal time series models
Statistics & Probability Letters | 2005-04-07 | Paper |
M‐Estimation for regressions with integrated regressors and arma errors
Journal of Time Series Analysis | 2004-11-24 | Paper |
Tests for the order of integration against higher order integration
Statistical Papers | 2004-09-22 | Paper |
scientific article; zbMATH DE number 2100556 (Why is no real title available?)
| 2004-09-14 | Paper |
ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING
Journal of the Korean Mathematical Society | 2004-05-27 | Paper |
Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
Journal of Statistical Planning and Inference | 2003-08-13 | Paper |
An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
Journal of Econometrics | 2003-06-09 | Paper |
ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS
Econometric Theory | 2003-05-18 | Paper |
A new kernel for long-run variance estimates in seasonal time series models
Economics Letters | 2002-07-31 | Paper |
Bayesian analysis of regression models with spatially correlated errors and missing observations
Computational Statistics and Data Analysis | 2002-07-15 | Paper |
Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors
Statistics & Probability Letters | 2002-01-24 | Paper |
Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
Journal of Statistical Planning and Inference | 2002-01-08 | Paper |
On geometric ergodicity of the MTAR process
Statistics & Probability Letters | 2002-01-02 | Paper |
scientific article; zbMATH DE number 1240616 (Why is no real title available?)
| 2001-01-11 | Paper |
Weighted symmetric tests for cointegration based on residual
Communications in Statistics: Theory and Methods | 2000-11-08 | Paper |
Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
Statistics & Probability Letters | 2000-01-01 | Paper |
Analysis of ordered covariate effects among groups with repeated measurements
Communications in Statistics: Theory and Methods | 1999-11-10 | Paper |
The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes
Journal of Time Series Analysis | 1999-08-10 | Paper |
An algorithm for generating correlated random variables in a class of infinitely divisible distributions
Journal of Statistical Computation and Simulation | 1999-08-09 | Paper |
Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data
Journal of Time Series Analysis | 1999-06-10 | Paper |
Maximum likelihood estimation for arma models in the presence of ARMA errors
Communications in Statistics: Theory and Methods | 1999-05-26 | Paper |
Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
Journal of Time Series Analysis | 1999-05-03 | Paper |
Unit root tests for time series with outliers
Statistics & Probability Letters | 1998-11-05 | Paper |
TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
Journal of Time Series Analysis | 1998-06-08 | Paper |
scientific article; zbMATH DE number 954473 (Why is no real title available?)
| 1998-03-23 | Paper |
A study on misspecified nonstationary autoregressive time series with a unit root
Journal of Time Series Analysis | 1998-03-05 | Paper |
Regression with integrated regressors
Journal of Statistical Planning and Inference | 1998-02-09 | Paper |
scientific article; zbMATH DE number 954454 (Why is no real title available?)
| 1997-02-12 | Paper |
Small sample comparisons for the blended weight chi-square goodness-of-fit test statistics
Communications in Statistics: Theory and Methods | 1997-02-03 | Paper |
Testing for ordered group effects with repeated measurements
Biometrika | 1996-12-08 | Paper |
On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
Statistics & Probability Letters | 1996-10-08 | Paper |
ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
Journal of Time Series Analysis | 1996-09-18 | Paper |
DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
Journal of Time Series Analysis | 1996-03-20 | Paper |
A note on nonlinear regression for the autoregressive moving average with non-hd errors
Communications in Statistics: Theory and Methods | 1994-11-08 | Paper |
Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
Statistics & Probability Letters | 1994-09-18 | Paper |
A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise
Statistics & Probability Letters | 1994-03-27 | Paper |
Testing for a unit root in autoregressive processes with systematic but incomplete sampling
Statistics & Probability Letters | 1994-03-07 | Paper |
MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE
Journal of Time Series Analysis | 1994-01-06 | Paper |
