Narrow search
Showing 1 - 10 of 12
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Nonstationary nonlinear heteroskedasticity in regression
Chung, Heetaik (contributor); Park, Joon Y. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003273543
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Understanding regressions with observations collected at high frequency over long span
Chang, Yoosoon; Lu, Ye; Park, Joon Y. - 2018
Persistent link: https://www.econbiz.de/10012223871
Cover Image
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