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Showing results 35 to 64 of 156

Issue DateTitleAuthor(s)Type
2017Bayesian analysis of financial volatilities addressing long-memory, conditional heteroscedasticity and skewed error distribution오만숙; 신동완Article
2005Bayesian analysis of panel data using an MTAR model오만숙; 신동완Article
2002Bayesian analysis of regression models with spatially correlated errors and missing observations오만숙; 신동완Article
2002Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reverisble jump Markov chain Monte Carlo approach오만숙; 신동완Article
2005Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data오만숙; 신동완Article
2010Bayesian tests for unit root and multiple breaks오만숙; 신동완Article
2003Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend신동완Article
2015Block Bootstrapping for Kernel Density Estimators under psi-Weak Dependence (vol 43, pg 3751, 2014)신동완Correction
2014Block bootstrapping for kernel density estimators under ψ-weak dependence신동완; 황은주Article
2017Bootstrap forecast intervals for asymmetric volatilities via EGARCH model신동완Article
2020Bootstrapping volatility spillover index신동완Article
1999Cauchy estimators for autoregressive processes with applications to unit root tests and confidence intervals소병수; 신동완Article
2005Comparison of panel unit root tests under cross sectional dependence신동완Article
2001Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators소병수; 신동완Article
2000Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends신동완Article
1996Distribution of residual autocorrelations in nonstationary autoregressive processes신동완Article
2018Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?신동완; 유재근Article
2008Double unit root tests for cross-sectionally dependent panel data오만숙; 신동완Article
2002Efficiency of the OLSE for regressions on two-dimensional grids with sinusoidal regressors and spatially correlated errors신동완Article
2014Efficient realized variance, regression coefficient and correlation coefficient under different sampling time김정은Master's Thesis
2012Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies신동완Article
2004Estimation of spectral density for seasonal time series models신동완Article
2017Estimation of structural mean breaks for long-memory data sets신동완Article
2019Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio신동완Article
2020Forecasting Realized Volatility Using Data Normalization and Recurrent Neural Network이윤주Master's Thesis
2018Forecasting realized volatility: A review신동완Review
2014Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight신동완Article in Press
2014Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight윤수인Master's Thesis
2015Forecasting the realized volatility of the log returns of the KOSPI using the four types of sampling intervals김여경Master's Thesis