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자연과학대학
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Results 1-4 of 4 (Search time: 0.0 seconds).
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Issue Date
Title
Author(s)
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2015
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
신동완
Article
2015
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
신동완
Article
2019
Quantile forecasts for financial volatilities based on parametric and asymmetric models
신동완
Article
2018
Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
신동완; 유재근
Article
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신동완
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HAR model
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Long-memory
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Bias
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EGARCH model
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Forecast interval
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Lagrangian multiplier test
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LHAR model
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Market microstructure noise
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Parameter constancy
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Skew-t distribution
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