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Change point test for tail index of scale-shifted processes
Kim, Moosup; Lee, Sangyeol - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 297-333
Abstract In this paper, we study the change point test for the tail index of scale-shifted processes. To this task, we propose two tests. The first is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point...
Persistent link: https://www.econbiz.de/10014621213
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Parameter change test for location‐scale time series models with heteroscedasticity based on bootstrap
Oh, Haejune; Lee, Sangyeol - In: Applied Stochastic Models in Business and Industry 35 (2019) 6, pp. 1322-1343
Persistent link: https://www.econbiz.de/10012272492
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The monitoring test for the stability of regression models with nonstationary regressors
Lee, Sangyeol; Park, Siyun - In: Economics letters 105 (2009) 3, pp. 250-252
Persistent link: https://www.econbiz.de/10003931029
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Normality test for multivariate conditional heteroskedastic dynamic
Lee, Sangyeol; Ng, Chi Tim - In: Economics letters 111 (2011) 1, pp. 75-77
Persistent link: https://www.econbiz.de/10009241338
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Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
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Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
Noh, Jungsik; Lee, Seung Yong; Lee, Sangyeol - In: Economics letters 117 (2012) 3, pp. 734-738
Persistent link: https://www.econbiz.de/10009680721
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Maximum entropy test for autoregressive models
Lee, Sangyeol; Park, Siyun - In: Uncertainty analysis in econometrics with applications …, (pp. 119-128). 2013
Persistent link: https://www.econbiz.de/10009711159
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Consistency of minimizing a penalized density power divergence estimator for mixing distribution
Lee, Taewook; Lee, Sangyeol - In: Statistical papers 50 (2009) 1, pp. 67-80
Persistent link: https://www.econbiz.de/10003814837
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The CUSUM of squares test for the stability of regression models with non-stationary regressors
Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol - In: Economics letters 100 (2008) 2, pp. 234-237
Persistent link: https://www.econbiz.de/10003768237
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Change point analysis of exchange rates using bootstrapping methods : an application to the Indonesian Rupiah 2000-2008
Hardi, Amirullah Setya; Kawai, Ken-ichi; Lee, Sangyeol; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 429-444
Persistent link: https://www.econbiz.de/10011524825