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A CUSUM test for a long memory heterogeneous autoregressive model

Title
A CUSUM test for a long memory heterogeneous autoregressive model
Authors
Hwang E.Shin D.W.
Ewha Authors
신동완황은주
SCOPUS Author ID
신동완scopus
Issue Date
2013
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 121, no. 3, pp. 379 - 383
Indexed
SSCI; SCOPUS WOS scopus
Abstract
C22; HAR model; Parameter constancy; Realized volatility; Structural break
DOI
10.1016/j.econlet.2013.09.014
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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