DSpace at EWHA: A CUSUM test for a long memory heterogeneous autoregressive model

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DSpace at EWHA자연과학대학 통계학전공 Journal papers

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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: 신동완; 황은주

SCOPUS Author ID: 신동완; 황은주

Issue Date: 2013

Journal Title: Economics Letters

ISSN: 0165-1765

Citation: Economics Letters vol. 121, no. 3, pp. 379 - 383

Indexed: SSCI; SCOPUS

Document Type: Article

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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