Search Results - "Rho, Seunghwa"

On asymmetric volatility effects in currency markets by Cho, Dooyeon, Rho, Seunghwa

“…This paper investigates the asymmetric effects of exchange rate volatility in currency markets using high-frequency, intraday data of the most actively traded…”
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Long Memory, Realized Volatility and Heterogeneous Autoregressive Models by Baillie, Richard T., Calonaci, Fabio, Cho, Dooyeon, Rho, Seunghwa

“…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,…”
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Reassessing growth vulnerability by Cho, Dooyeon, Rho, Seunghwa

“…Summary This paper replicates the results of Adrian et al. (American Economic Review, 2019) that GDP growth volatility is mainly driven by the lower quantiles…”
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Time variation in the persistence of unemployment over the past century by Cho, Dooyeon, Rho, Seunghwa

“…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…”
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Are all firms inefficient? by Rho, Seunghwa, Schmidt, Peter

“…In the usual stochastic frontier model, all firms are inefficient, because inefficiency is non-negative and the probability that inefficiency is exactly zero…”
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Inference in time series models using smoothed-clustered standard errors by Rho, Seunghwa, Vogelsang, Timothy J.

“…This paper proposes a long run variance estimator for conducting inference in time series regression models that combines the nonparametric approach with a…”
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Physical and Psychological Burden among Caregivers of Latinx Older Adults with Stroke and Multimorbidity by Krishnan, Shilpa, Chen, Haobin Tony, Caston, Sarah, Rho, Seunghwa

“…To investigate the association between Latinx older adults' stroke, multimorbidity, and caregiver burden. For this retrospective cohort study, we used the…”
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Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the M L E s by Baillie, Richard T., Cho, Dooyeon, Rho, Seunghwa

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Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility by Baillie, Richard T., Cho, Dooyeon, Rho, Seunghwa

“…Several articles have attempted to approximate long-memory, fractionally integrated time series by fitting a low-order autoregressive AR ( p ) model and making…”
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Three essays on econometrics by Rho, Seunghwa

“…This dissertation consists of three chapters on econometrics. The first chapter, Are all firms inefficient? , is related to the stochastic frontier model of…”
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Three essays on econometrics by Rho, Seunghwa

“…This dissertation consists of three chapters on econometrics. The first chapter, Are all firms inefficient? , is related to the stochastic frontier model of…”
Get full text