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Showing results 1 to 8 of 8
Issue Date
Title
Author(s)
Type
2015
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
신동완
Article
2016
An integrated heteroscedastic autoregressive model for forecasting realized volatilities
신동완
Article
2018
Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
신동완; 유재근
Article
2017
Estimation of structural mean breaks for long-memory data sets
신동완
Article
2018
Forecasting realized volatility: A review
신동완
Review
2018
Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
신동완; 황은주
Article
2017
Value at risk forecasting for volatility index
신동완
Article
2019
Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
신동완
Article
1
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