Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Seunghwa Rho"'
Publikováno v:
Empirical Economics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4a80c665e65790f251bff6aaf871df5
https://doi.org/10.1007/s00181-022-02357-8
https://doi.org/10.1007/s00181-022-02357-8
Autor:
Seunghwa Rho, Timothy J. Vogelsang
Publikováno v:
Journal of Econometrics. 224:113-133
This paper proposes a long run variance estimator for conducting inference in time series regression models that combines the nonparametric approach with a cluster approach. The basic idea is to divide the time periods into non-overlapping clusters.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a55d9a3d0049c42485b0bc80dc3a57e9
https://doi.org/10.1016/j.jeconom.2020.07.037
https://doi.org/10.1016/j.jeconom.2020.07.037
Autor:
Seunghwa Rho, Dooyeon Cho
Publikováno v:
Empirical Economics. 62:2149-2177
This paper investigates the asymmetric effects of exchange rate volatility in currency markets using high-frequency, intraday data of the most actively traded currencies over 2004–2017. The analysis is conducted by combining the quantile regression
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4afd82a63cc8e72e0eaea6fa6ed2a57
https://doi.org/10.1007/s00181-021-02091-7
https://doi.org/10.1007/s00181-021-02091-7
Publikováno v:
Econometrics and Statistics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5eba39475508e159016561be90c317f5
https://doi.org/10.1016/j.ecosta.2022.06.001
https://doi.org/10.1016/j.ecosta.2022.06.001
Autor:
Dooyeon Cho, Seunghwa Rho
Publikováno v:
Economics Letters. 182:19-22
This paper investigates the persistence of the unemployment rate for the UK and the US over the past century by modeling the persistence to randomly evolve over time. The estimated autoregressive coefficient exhibits significant variation over time i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b26742dcb2e889aef474c29f9aec5549
https://doi.org/10.1016/j.econlet.2019.05.035
https://doi.org/10.1016/j.econlet.2019.05.035
Publikováno v:
Journal of Time Series Analysis. 40:609-628
The presence of long memory in realized volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, contemporaneous aggregation, nonlinearities, or pure long memory. An important d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d98e205f4ac08f2e6d76c0b62fc8acdd
https://doi.org/10.1111/jtsa.12470
https://doi.org/10.1111/jtsa.12470
Autor:
Timothy J. Vogelsang, Seunghwa Rho
Publikováno v:
Econometric Theory. 35:601-629
In this paper we investigate the properties of heteroskedasticity autocorrelation (HAC) robust test statistics in stationary weakly dependent time series regression settings when observations are missing. We focus on statistics constructed using nonp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ddafda416210c12cba9dfcd53f2c471
https://doi.org/10.1017/s0266466618000117
https://doi.org/10.1017/s0266466618000117
Autor:
Peter Schmidt, Seunghwa Rho
Publikováno v:
Journal of Productivity Analysis. 43:327-349
In the usual stochastic frontier model, all firms are inefficient, because inefficiency is non-negative and the probability that inefficiency is exactly zero equals zero. We modify this model by adding a parameter p which equals the probability that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ed99b4c9897931a5dd9fec04dc5054c2
https://doi.org/10.1007/s11123-013-0374-7
https://doi.org/10.1007/s11123-013-0374-7