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Results 1-8 of 8 (Search time: 0.0 seconds).
Item hits:
Issue Date
Title
Author(s)
Type
2017
Estimation of structural mean breaks for long-memory data sets
신동완
Article
2018
Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
신동완; 황은주
Article
2019
Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
신동완
Article
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
Forecasting realized volatility: A review
신동완
Review
2017
Value at risk forecasting for volatility index
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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-Author
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신동완
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유재근
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황은주
-Subject
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Long-memory
3
Volatility forecasting
2
Conditional heteroscedasticity
2
High frequency data
2
long-memory
2
Realized volatility
2
realized volatility
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Asymmetry
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Bias
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Cointegration
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