Heejoon Han
Biographic Data
| ID | 8920599 |
|---|---|
| NAME | Heejoon Han |
| GIVEN NAMES | Heejoon |
| FAMILY NAME | Han |
| SIGNATURE | HAN H |
| AFFILIATIONS | Kyung Hee University |
| ORCID | 0000-0003-2474-4146 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2014 |
| H-INDEX | 0 |
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model augmented by including an additional explanatory variable—the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as captured by its long-memory parameter dx; in particular, we allow for both stationary and nonstationary covariates. We show that the QMLE’s of the paramete…
No prominent works on this page.
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model augmented by including an additional explanatory variable—the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as captured by its long-memory parameter dx; in particular, we allow for both stationary and nonstationary covariates. We show that the QMLE’s of the paramete…
Applied Mathematics (1 works) · Asymptotic analysis (1 works) · Autoregressive conditional heteroskedasticity (1 works) · Covariate (1 works) · Econometrics (1 works) · Financial Risk and Volatility Modeling (1 works) · Hydrology and Drought Analysis (1 works) · Mathematics (1 works) · Physics (1 works) · Statistical physics (1 works)