Joon Y. Park

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Person:250885

Available identifiers

zbMath Open park.joon-yMaRDI QIDQ250885

List of research outcomes

PublicationDate of PublicationType
Non‐stationary regression with logistic transition2022-07-26Paper
ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS2021-11-25Paper
Nonparametric estimation of jump diffusion models2021-05-04Paper
Testing for stationarity at high frequency2020-05-21Paper
Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate2019-12-19Paper
Estimation of longrun variance of continuous time stochastic process using discrete sample2019-07-01Paper
Evaluating factor pricing models using high-frequency panels2018-09-12Paper
Random walk or chaos: a formal test on the Lyapunov exponent2017-05-12Paper
Stationarity-based specification tests for diffusions when the process is nonstationary2017-05-12Paper
Asymptotics for recurrent diffusions with application to high frequency regression2016-11-17Paper
A new approach to model regime switching2016-11-17Paper
ARCH/GARCH with persistent covariate: asymptotic theory of MLE2016-08-15Paper
Functional regression of continuous state distributions2016-08-15Paper
A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving2016-08-01Paper
Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory2016-07-25Paper
Functional-coefficient models for nonstationary time series data2016-07-04Paper
Extracting a common stochastic trend: theory with some applications2016-07-04Paper
Time series properties of ARCH processes with persistent covariates2016-06-22Paper
TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS2016-06-16Paper
Nonstationary nonlinear heteroskedasticity in regression2016-05-02Paper
A bootstrap theory for weakly integrated processes2016-04-25Paper
Bootstrapping cointegrating regressions2016-04-25Paper
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models2016-03-01Paper
Nonstationarity in time series of state densities2016-03-01Paper
A reexamination of stock return predictability2016-03-01Paper
GARCH with omitted persistent covariate2015-01-12Paper
NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE2014-09-05Paper
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data2014-08-07Paper
Endogeneity in Nonlinear Regressions with Integrated Time Series2011-03-30Paper
Cointegrating Regressions with Time Heterogeneity2010-08-05Paper
Bootstrap Unit Root Tests2006-06-19Paper
A Test of the Martingale Hypothesis2006-01-27Paper
ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS2004-09-22Paper
A Sieve Bootstrap For The Test Of A Unit Root2004-03-16Paper
Nonlinear instrumental variable estimation of an autoregression.2004-01-26Paper
AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES2003-05-18Paper
Index models with integrated time series2003-05-04Paper
A cointegration approach to estimating preference parameters2003-04-21Paper
Nonlinear econometric models with cointegrated and deterministically trending regressors2003-03-26Paper
Nonstationary nonlinear heteroskedasticity.2003-02-17Paper
Nonstationary Binary Choice2002-05-28Paper
Nonlinear Regressions with Integrated Time Series2002-05-28Paper
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES2001-07-19Paper
COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS2001-07-08Paper
Canonical Cointegrating Regressions1992-09-26Paper
On the Formulation of Wald Tests of Nonlinear Restrictions1988-01-01Paper
Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors1988-01-01Paper

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