Ji Yeon Lee

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All published works

Action	Title	Year	Authors
+ PDF Chat	Monitoring Test for Stability of Dependence Structure in Multivariate Data Based on Copula	2016	Ji Yeon Lee Byungsoo Kim
+ PDF Chat	PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS	2015	Ji Yeon Lee Sangyeol Lee
+	Maximum entropy test for GARCH models	2014	Ji Yeon Lee Sangyeol Lee Siyun Park
+	Residual Based Cusum Test for Parameter Change in AR-GARCH Models	2013	Sangyeol Lee Ji Yeon Lee
+	Change point detection in SCOMDY models	2012	Okyoung Na Ji Yeon Lee Sangyeol Lee
+	Change point detection in copula ARMA–GARCH Models	2011	Okyoung Na Ji Yeon Lee Sangyeol Lee
+	Monitoring parameter changes for random coefficient autoregressive models	2010	Okyoung Na Ji Yeon Lee Sangyeol Lee

Common Coauthors

Coauthor	Papers Together
Sangyeol Lee	6
Okyoung Na	3
Siyun Park	1
Byungsoo Kim	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	The Cusum Test for Parameter Change in Time Series Models	2003	Sangyeol Lee Jeongcheol Ha Okyoung Na Seongryong Na	5
+	Change point detection in copula ARMA–GARCH Models	2011	Okyoung Na Ji Yeon Lee Sangyeol Lee	4
+ PDF Chat	Change analysis of a dynamic copula for measuring dependence in multivariate financial data	2009	Dominique Guégan Jinlong Zhang	3
+ PDF Chat	The Cusum Test for Parameter Change in Regression Models with ARCH Errors	2004	Sangyeol Lee Yasuyoshi Tokutsu Koichi Maekawa	3
+	An Introduction to Copulas	1999	Roger B. Nelsen	3
+ PDF Chat	PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS	2011	Mika Meitz Pentti Saikkonen	2
+	SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS	2004	I. Berkès Edit Gombay Lajos Horváth Piotr Kokoszka	2
+ PDF Chat	Asymptotic Normality of Nonparametric Tests for Independence	1972	F.H. Ruymgaart Galen R. Shorack W. R. van Zwet	2
+	Multivariate Models and Multivariate Dependence Concepts	1997	Harry Joe	2
+	Change point detection in SCOMDY models	2012	Okyoung Na Ji Yeon Lee Sangyeol Lee	2
+ PDF Chat	On residual empirical processes of stochastic regression models with applications to time series	1999	Sangyeol Lee Ching-Zong Wei	2
+	Monitoring Structural Change	1996	Chia-Shang James Chu Maxwell B. Stinchcombe Halbert White	2
+	Empirical and sequential empirical copula processes under serial dependence	2013	Axel Bücher Stanislav Volgushev	1
+	Maximum Likelihood Estimation of Misspecified Models	1983	Halbert White	1
+	ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS	1986	Kung‐Sik Chan H. Tong	1
+	The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes	2001	Sangyeol Lee Siyun Park	1
+ PDF Chat	Weak Convergence of the Sample Distribution Function when Parameters are Estimated	1973	J. Durbin	1
+	The monitoring test for the stability of regression models with nonstationary regressors	2009	Sangyeol Lee Siyun Park	1
+	Monitoring parameter change in <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si50.gif" display="inline" overflow="scroll"><mml:mstyle mathvariant="normal"><mml:mi>AR</mml:mi></mml:mstyle><mml:mrow><mml:mo>(</mml:mo><mml:mi>p</mml:mi><mml:mo>)</mml:mo></mml:mrow></mml:math> time series models	2008	Edit Gombay Daniel Serban	1
+	Monitoring changes in linear models	2003	Lajos Horváth Marie Hušková Piotr Kokoszka Josef Steinebach	1
+	Asymptotic Normality of Nonparametric Tests for Independence	2011	F.H. Ruymgaart Galen R. Shorack W. R. van Zwet	1
+	A maximum entropy type test of fit	2011	Sangyeol Lee Filia Vonta Alex Karagrigoriou	1
+	On the Bickel–Rosenblatt test for first-order autoregressive models	2002	Sangyeol Lee Seongryong Na	1
+	A note on the Jarque–Bera normality test for GARCH innovations	2009	Sangyeol Lee Siyun Park Taewook Lee	1
+	Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis	2009	Jiwon Kang Sangyeol Lee	1
+	Bootstrap based goodness-of-fit-tests	1993	Winfried Stute Wenceslao Gonzáles Manteiga M. Presedo Quindimil	1
+	MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS	2002	Marine Carrasco Xiaohong Chen	1
+	Testing for equality between two copulas	2008	Bruno Rémillard Olivier Scaillet	1
+	Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance	1994	Carla Inclán George C. Tiao	1
+ PDF Chat	Strict Stationarity of Generalized Autoregressive Processes	1992	Philippe Bougerol Nico Picard	1
+ PDF Chat	Detecting changes in cross-sectional dependence in multivariate time series	2014	Axel Bücher Ivan Kojadinovic Tom Rohmer Johan Segers	1
+	Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection	2005	Xiaohong Chen Yanqin Fan	1
+	Asymptotics of empirical copula processes under non-restrictive smoothness assumptions	2012	Johan Segers	1
+ PDF Chat	The Hartman-Wintner Law of the Iterated Logarithm for Martingales	1970	William Stout	1
+ PDF Chat	Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach	2006	Daniel Straumann Thomas Mikosch	1
+ PDF Chat	A note on bootstrap approximations for the empirical copula process	2010	Axel Bücher Holger Dette	1
+	THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I	1980	D. F. Nicholls Barry G. Quinn	1
+ PDF Chat	Multivariate Kendall's tau for change‐point detection in copulas	2012	Jean‐François Quessy Mériem Saïd Anne‐Catherine Favre	1
+	Efficiency comparisons of maximum-likelihood-based estimators in GARCH models	1999	Gloria González‐Rivera Feike C. Drost	1
+	Residual Based Cusum Test for Parameter Change in AR-GARCH Models	2013	Sangyeol Lee Ji Yeon Lee	1
+	Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators	2006	Sangyeol Lee Yoichi Nishiyama Nakahiro Yoshida	1
+	A note on strong approximations of multivariate empirical processes	1988	Miklós Csörgő Lajos Horváth	1
+	Autoregressive series with random parameters	1976	Jiří Anděl	1
+	STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS	2009	Ngai Hang Chan Jian Chen Xiaohong Chen Yanqin Fan Liang Peng	1
+	Recent Advances in the Central Limit Theorem and Its Weak Invariance Principle for Mixing Sequences of Random Variables (A Survey)	1986	Magda Peligrad	1
+	Testing linearity in univariate, time series models	1988	Ritva Luukkonen Pentti Saikkonen Timo Teräsvirta	1
+ PDF Chat	Convergence of Probability Measures	1999	Patrick Billingsley	1
+	THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II	1981	Barry G. Quinn D. F. Nicholls	1
+ PDF Chat	High moment partial sum processes of residuals in GARCH models and their applications	2005	Reg Kulperger Yu Hao	1
+ PDF Chat	Stability of nonlinear AR‐GARCH models	2008	Mika Meitz Pentti Saikkonen	1