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Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models
Kim, Myung Suk; Wang, Suojin - In: Computational Statistics & Data Analysis 50 (2006) 7, pp. 1793-1806
Persistent link: https://www.econbiz.de/10005165595
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Consistent estimation in regression models for the drift function in some continuous time models
Kim, Myung Suk; Wang, Suojin - In: Computational Statistics & Data Analysis 52 (2008) 5, pp. 2682-2691
Persistent link: https://www.econbiz.de/10005172366
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Modeling special-day effects for forecasting intraday electricity demand
Kim, Myung Suk - In: European Journal of Operational Research 230 (2013) 1, pp. 170-180
We propose and apply a novel approach for modeling special-day effects to predict electricity demand in Korea. Notably, we model special-day effects on an hourly rather than a daily basis. Hourly specified predictor variables are implemented in the regression model with a seasonal autoregressive...
Persistent link: https://www.econbiz.de/10010666107
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On the applicability of stochastic volatility models
Suk Kim, Myung; Wang, Suojin - In: Computational Statistics & Data Analysis 51 (2006) 4, pp. 2210-2217
Persistent link: https://www.econbiz.de/10005165720