Similar Search Results

Nonstationary nonlinear heteroskedasticity in regression

Chung, Heetaik; Park, Joon Y. - In: Journal of econometrics 137 (2007) 1, pp. 230-259

Persistent link: https://www.econbiz.de/10003425535

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

GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

Nonstationary nonlinear heteroskedasticity in regression

Chung, Heetaik (contributor); Park, Joon Y. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003273543

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - In: Econometric theory 37 (2021) 5, pp. 926-958

Persistent link: https://www.econbiz.de/10012656389

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

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020

Persistent link: https://www.econbiz.de/10012216029

Evaluating factor pricing models using high-frequency panels

Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933

Persistent link: https://www.econbiz.de/10011793568

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

Evaluating factor pricing models using high-frequency panels

Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

Persistent link: https://www.econbiz.de/10011800879