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SSCISCOPUS

Can Markov switching model generate long memory?

Baek, C[Baek, Changryong]; Fortuna, N[Fortuna, Natercia]; Pipiras, V[Pipiras, Vladas]

ArticleIssue Date2014CitationECONOMICS LETTERS, v.124, no.1, pp.117 - 121PublisherELSEVIER SCIENCE SA

SCIESCOPUS

ARMA Cholesky factor models for the covariance matrix of linear models

Lee, K[Lee, Keunbaik]; Baek, C[Baek, Changryong]; Daniels, MJ[Daniels, Michael J.]

ArticleIssue Date2017CitationCOMPUTATIONAL STATISTICS & DATA ANALYSIS, v.115, pp.267 - 280PublisherELSEVIER SCIENCE BV

KCI

필터링된 잔차를 이용한 희박벡터자기회귀모형에서의 변수 선택 측도

이승규[이승규]; 백창룡[백창룡]

ArticleIssue Date2015Citation응용통계연구, v.28, no.5, pp.871 - 883Publisher한국통계학회

SCIESCOPUS

On integral representations of operator fractional Brownian fields

Baek, C[Baek, Changryong]; Didier, G[Didier, Gustavo]; Pipiras, V[Pipiras, Vladas]

ArticleIssue Date2014CitationSTATISTICS & PROBABILITY LETTERS, v.92, pp.190 - 198PublisherELSEVIER SCIENCE BV

KCI

희박 벡터자기상관회귀 모형을 이용한 한국의 미세먼지 분석

이원석[이원석]; 백창룡[백창룡]

ArticleIssue Date2014Citation한국데이터정보과학회지, v.25, no.4, pp.807 - 817Publisher한국데이터정보과학회

SCIESCOPUS

Robust test for structural instability in dynamic factor models

Kim, B.[Kim, B.]; Song, J.[Song, J.]; Baek, C.[Baek, C.]

ArticleIssue Date2021CitationAnnals of the Institute of Statistical Mathematics, v.73, no.4, pp.821 - 853PublisherSpringer Japan

SCIESCOPUS

Sparse seasonal seasonal and periodic vector autoregressive modeling

Baek, C[Baek, Changryong]; Davis, RA[Davis, Richard A.]; Pipiras, V[Pipiras, Vladas]

ArticleIssue Date2017CitationCOMPUTATIONAL STATISTICS & DATA ANALYSIS, v.106, pp.103 - 126PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Detecting structural breaks in realized volatility

Song, J[Song, Junmo]; Baek, C[Baek, Changryong]

ArticleIssue Date2019CitationCOMPUTATIONAL STATISTICS & DATA ANALYSIS, v.134, pp.58 - 75PublisherELSEVIER SCIENCE BV

KCI

Factor augmentation for cryptocurrency return forecasting

Yeom, Y[Yeom, Yebin]; Han, Y[Han, Yoojin]; Lee, J[Lee, Jaehyun]; Park, S[Park, Seryeong]; Lee, J[Lee, Jungwoo]; Baek, C[Baek, Changryong]

ArticleIssue Date2022CitationKOREAN JOURNAL OF APPLIED STATISTICS, v.35, no.2, pp.189 - 201PublisherKOREAN STATISTICAL SOC

SCIESCOPUS

Test of change point versus long-range dependence in functional time series

Baek, Changryong; Kokoszka, Piotr; Meng, Xiangdong

ArticleIssue Date2023CitationJOURNAL OF TIME SERIES ANALYSIS, v.45, no.4, pp 497 - 512PublisherWILEY

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