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Model checks for nonlinear cointegrating regression
Wang, Qiying; Wu, Dongsheng; Zhu, Ke - In: Journal of econometrics 207 (2018) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10012116349
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Functional-coefficient models for nonstationary time series data
Cai, Zongwu; Li, Qi; Park, Joon Y. - In: Journal of econometrics 148 (2009) 2, pp. 101-113
Persistent link: https://www.econbiz.de/10003833742
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 224 (2021) 2, pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
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Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
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Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung - In: Journal of econometrics 227 (2022) 1, pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke - In: Journal of econometrics 237 (2023) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
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Nonparametric estimation of jump diffusion models
Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
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A new approach to model regime switching
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011743787