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Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
Shin, Dong-wan; Park, Sangun - In: Economics letters 115 (2012) 3, pp. 334-337
Persistent link: https://www.econbiz.de/10009631616
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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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A self-normalization test for correlation change
Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
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Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio
Kim, Hee-Soo; Shin, Dong-wan - In: Applied economics letters 26 (2019) 8, pp. 661-668
Persistent link: https://www.econbiz.de/10012204303
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Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833
Persistent link: https://www.econbiz.de/10012207151
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Stationary Bootstrapping Realized Regression Coefficient and Correlation Coefficient
Hwang, Eunju - 2014
Persistent link: https://www.econbiz.de/10013054778