1 citations · 1 across the 2 of their papers we have counts for
2 papers
stat.ME2014
Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity
Jungsik Noh, Sangyeol Lee
This paper considers quantile regression for a wide class of time series models including ARMA models with asymmetric GARCH (AGARCH) errors. The classical mean-variance models are…
math.ST2013★ 1 cited
On the Identifiability Conditions in Some Nonlinear Time Series Models
Jungsik Noh, Sangyeol Lee
In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and…