Oesook Lee
Biographic Data
| ID | 8921483 |
|---|---|
| NAME | Oesook Lee |
| GIVEN NAMES | Oesook |
| FAMILY NAME | Lee |
| SIGNATURE | LEE O |
| AFFILIATIONS | Ewha Womans University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2001 |
| LATEST PUBLICATION YEAR | 2001 |
| H-INDEX | 0 |
Tests for Asymmetry in Possibly Nonstationary Time Series Data
Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. Thi…
No prominent works on this page.
Tests for Asymmetry in Possibly Nonstationary Time Series Data
Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. Thi…
Applied Mathematics (1 work) · Asymmetry (1 work) · Autoregressive model (1 work) · Econometrics (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Monte Carlo method (1 work)