Changryong Baek

Available identifiers

zbMath Open baek.changryongMaRDI QIDQ626300

List of research outcomes

Publication	Date of Publication	Type
Test of change point versus long-range dependence in functional time series	2024-11-20	Paper
Bayesian vector heterogeneous autoregressive modelling	2024-08-13	Paper
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence	2024-07-25	Paper
Local Whittle estimation of high-dimensional long-run variance and precision matrices	2024-01-04	Paper
Detecting changes in correlation networks with application to functional connectivity of fMRI data	2023-07-24	Paper
Sparse vector heterogeneous autoregressive modeling for realized volatility	2022-04-27	Paper
Robust test for structural instability in dynamic factor models	2021-07-28	Paper
Two sample tests for high-dimensional autocovariances	2021-05-07	Paper
Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification	2020-06-16	Paper
Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity	2020-02-28	Paper
Detecting structural breaks in realized volatility	2019-02-21	Paper
ARMA Cholesky factor models for the covariance matrix of linear models	2018-08-14	Paper
A piecewise polynomial trend against long range dependence	2015-08-07	Paper
Tests for volatility shifts in GARCH against long-range dependence	2015-03-09	Paper
Statistical tests for a single change in mean against long-range dependence	2014-11-20	Paper
Can Markov switching model generate long memory?	2014-09-11	Paper
On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation	2014-07-30	Paper
On integral representations of operator fractional Brownian fields	2014-07-15	Paper
Quasi-maximum likelihood estimation for multiple volatility shifts	2014-06-05	Paper
Second order properties of distribution tails and estimation of tail exponents in random difference equations	2011-02-22	Paper
Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known	2010-04-14	Paper
LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL	2009-04-03	Paper

Research outcomes over time

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