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Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory
Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 155 (2010) 1, pp. 83-89
Persistent link: https://www.econbiz.de/10003965416
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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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Extracting a common stochastic trend : theory with some applications
Chang, Yoosoon; Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 150 (2009) 2, pp. 231-247
Persistent link: https://www.econbiz.de/10003858585
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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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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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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
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A reexamination of stock return predictability
Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
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A cointegration approach to estimating preference parameters
Ōgaki, Masao - In: Journal of econometrics 82 (1998) 1, pp. 107-134
Persistent link: https://www.econbiz.de/10001228497
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A semiparametric cointegrating regression : investigating the effects of age distributions on consumption and saving
Park, Joon Y.; Shin, Kwanho; Whang, Yoon-jae - In: Journal of econometrics 157 (2010) 1, pp. 165-178
Persistent link: https://www.econbiz.de/10008661721