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The functional central limit theorem and structural change test for the HAR(∞) model

Lee, Oesook - In: Economics letters 124 (2014) 3, pp. 370-373

Persistent link: https://www.econbiz.de/10010495189

The functional central limit theorem for the multivariate MS-ARMA-GARCH model

Lee, Oesook; Lee, Jungwha - In: Economics letters 125 (2014) 3, pp. 331-335

Persistent link: https://www.econbiz.de/10010506097

Stationarity and functional central limit theorem for ARCH (∞) models

Lee, Oesook - In: Economics letters 162 (2018), pp. 107-111

Persistent link: https://www.econbiz.de/10011939788

The functional central limit theorem for ARMA-GARCH processes

Lee, Oesook - In: Economics letters 121 (2013) 3, pp. 432-435

Persistent link: https://www.econbiz.de/10010392236

A note on stationary of the MTAR process on the boundary of the stationarity region

Lee, Oesook; Shin, Dong-wan - In: Economics letters 73 (2001) 3, pp. 263-268

Persistent link: https://www.econbiz.de/10001635074

Tests for asymmetry in possibly nonstationary time series data

Shin, Dong-wan; Lee, Oesook - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 233-244

Persistent link: https://www.econbiz.de/10001568822

Exponential ergodicity and ß-mixing property for generalized Ornstein-Uhlenbeck processes

Lee, Oesook - In: Theoretical economics letters 2 (2012) 1, pp. 21-25

Persistent link: https://www.econbiz.de/10009669466

Asymmetry and nonstationarity for a seasonal time series model

Shin, Dong-wan; Lee, Oesook - In: Journal of econometrics 136 (2007) 1, pp. 89-114

Persistent link: https://www.econbiz.de/10003401644

The Functional Central Limit Theorem for Markov-Switching GARCH Model

Kwon, Dream; Lee, Oesook - 2022

In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella (2004) and obtain the functional central limit theorems for and . The functional central limit theorem for is also obtained

Persistent link: https://www.econbiz.de/10013301033