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A new kernel for long-run variance estimates in seasonal time series models
Shin, Dong-wan; Oh, Man-suk - In: Economics letters 76 (2002) 2, pp. 165-171
Persistent link: https://www.econbiz.de/10001690289
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Semiparametric tests for double unit roots based on symmetric estimators
Shin, Dong-wan - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 67-73
Persistent link: https://www.econbiz.de/10001253386
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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
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Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast
Choi, Ji-Eun; Shin, Dong-wan - In: Journal of forecasting 41 (2022) 6, pp. 1087-1098
Persistent link: https://www.econbiz.de/10013465682
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A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
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Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry
Park, Soyoung; Shin, Dong-wan - In: Asia-Pacific journal of financial studies 43 (2014) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10010348459
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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
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A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan; Hwang, Eunju - In: Economics letters 129 (2015), pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
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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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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568