2018 | Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? | 신동완; 유재근 | Article |
2017 | Estimation of structural mean breaks for long-memory data sets | 신동완 | Article |
2019 | Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio | 신동완 | Article |
2018 | Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates | 신동완 | Article |
2016 | Kernel estimators of mode under Psi-weak dependence | 신동완 | Article |
2015 | Long-memories and mean breaks in realized volatilities | 신동완 | Article |
2017 | Stationary bootstrapping for realized covariations of high frequency financial data | 신동완 | Article |
2016 | SUR Approach for IV Estimation of Canonical Contagion Models | 신동완 | Article |
2018 | Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models | 신동완; 황은주 | Article |
2019 | Three regime bivariate normal distribution: a new estimation method for co-value-at-risk, CoVaR | 신동완 | Article |
2018 | Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity | 신동완 | Article |
2017 | Value at risk forecasting for volatility index | 신동완 | Article |
2019 | Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility | 신동완 | Article |