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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10011704806
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ARCH/GARCH with persistent covariate : asymptotic theory of MLE
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 167 (2012) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10009551438
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-292
Persistent link: https://www.econbiz.de/10003782974
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-293
Persistent link: https://www.econbiz.de/10008898219
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-292
Persistent link: https://www.econbiz.de/10008135099
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ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 167 (2012) 1, pp. 95-113
Persistent link: https://www.econbiz.de/10009825296