Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2016-08-27T04:08:20Z | - |
dc.date.available | 2016-08-27T04:08:20Z | - |
dc.date.issued | 2015 | * |
dc.identifier.issn | 0167-7152 | * |
dc.identifier.issn | 1879-2103 | * |
dc.identifier.other | OAK-14742 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/217110 | - |
dc.description.abstract | For testing error variance instability, a test based on CUSUM squares of the residuals in HAR model is constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment shows reasonable size and power performances of the proposed test. The test is applied to the log-return realized volatilities of some stock price index and exchange rate to find evidence for variance instability after adjusting long-memories. (C) 2015 Elsevier B.V. All rights reserved. | * |
dc.language | English | * |
dc.publisher | ELSEVIER SCIENCE BV | * |
dc.subject | HAR model | * |
dc.subject | Long-memory | * |
dc.subject | Parameter constancy | * |
dc.subject | Realized volatility | * |
dc.subject | Structural break | * |
dc.title | A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model | * |
dc.type | Article | * |
dc.relation.volume | 99 | * |
dc.relation.index | SCIE | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 167 | * |
dc.relation.lastpage | 176 | * |
dc.relation.journaltitle | STATISTICS & PROBABILITY LETTERS | * |
dc.identifier.doi | 10.1016/j.spl.2015.01.013 | * |
dc.identifier.wosid | WOS:000352169200023 | * |
dc.author.google | Hwang, Eunju | * |
dc.author.google | Shin, Dong Wan | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |