Changryong Baek
Changryong Baek
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Statistical tests for a single change in mean against long‐range dependence
C Baek, V Pipiras
Journal of Time Series Analysis 33 (1), 131-151, 2012
ARMA Cholesky factor models for the covariance matrix of linear models
K Lee, C Baek, MJ Daniels
Computational statistics & data analysis 115, 267-280, 2017
On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
C Baek, V Pipiras
Periodic dynamic factor models: estimation approaches and applications
C Baek, RA Davis, V Pipiras
Sparse seasonal and periodic vector autoregressive modeling
C Baek, RA Davis, V Pipiras
Computational Statistics & Data Analysis 106, 103-126, 2017
Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
C Baek, S Kechagias, V Pipiras
Journal of Statistical Planning and Inference 205, 245-268, 2020
Second order properties of distribution tails and estimation of tail exponents in random difference equations
C Baek, V Pipiras, H Wendt, P Abry
Extremes 12, 361-400, 2009
Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
C Baek, V Pipiras
Journal of Statistical Planning and Inference 140 (7), 1957-1967, 2010
Sparse vector heterogeneous autoregressive modeling for realized volatility
C Baek, M Park
Journal of the Korean Statistical Society 50 (2), 495-510, 2021
Factor-augmented HAR model improves realized volatility forecasting
D Kim, C Baek
Applied Economics Letters 27 (12), 1002-1009, 2020
Tests for Volatility Shifts in Garch Against Long‐Range Dependence
T Lee, M Kim, C Baek
Journal of Time Series Analysis 36 (2), 127-153, 2015
On multivariate GARCH model selection based on risk management
SR Park, C Baek
Journal of the Korean Data and Information Science Society 25 (6), 1333-1343, 2014
Two sample tests for high-dimensional autocovariances
C Baek, KM Gates, B Leinwand, V Pipiras
Computational Statistics & Data Analysis 153, 107067, 2021
On integral representations of operator fractional Brownian fields
C Baek, G Didier, V Pipiras
Statistics & Probability Letters 92, 190-198, 2014
Semiparametric, parametric, and possibly sparse models for multivariate long-range dependence
C Baek, S Kechagias, V Pipiras
Wavelets and Sparsity XVII 10394, 366-379, 2017
Detecting structural breaks in realized volatility
J Song, C Baek
Computational Statistics & Data Analysis 134, 58-75, 2019
Neural network heterogeneous autoregressive models for realized volatility
J Kim, C Baek
Communications for Statistical Applications and Methods 25 (6), 659-671, 2018
Can Markov switching model generate long memory?
C Baek, N Fortuna, V Pipiras
Economics Letters 124 (1), 117-121, 2014
Long range dependence, unbalanced Haar wavelet transformation and changes in local mean level
C Baek, V Pipiras
International Journal of Wavelets, Multiresolution and Information†…, 2009
Time Series Modelling of Air Quality in Korea: Long Range Dependence or Changes in Mean?
C Baek
The Korean Journal of Applied Statistics 26 (6), 987-998, 2013
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