Seunghwa Rho
Personal Details
First Name: | Seunghwa |
Middle Name: | |
Last Name: | Rho |
Suffix: | |
RePEc Short-ID: | prh24 |
[This author has chosen not to make the email address public] | |
http://seunghwarho.github.io | |
Affiliation
Institute for Quantitative Theory and Methods
Emory University
Atlanta, Georgia (United States)http://quantitative.emory.edu/
RePEc:edi:iqemous (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
Articles
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and Heterogeneous Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 609-628, July.
- Rho, Seung-Hwa & Vogelsang, Timothy J., 2019. "Heteroskedasticity Autocorrelation Robust Inference In Time Series Regressions With Missing Data," Econometric Theory, Cambridge University Press, vol. 35(3), pages 601-629, June.
- Seunghwa Rho & Peter Schmidt, 2015. "Are all firms inefficient?," Journal of Productivity Analysis, Springer, vol. 43(3), pages 327-349, June.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019.
"Long Memory, Realized Volatility and HAR Models,"
Working Papers
881, Queen Mary University of London, School of Economics and Finance.
Cited by:
- Harvey, A. & Palumbo, D., 2019.
"Score-Driven Models for Realized Volatility,"
Cambridge Working Papers in Economics
1950, Faculty of Economics, University of Cambridge.
- Harvey, Andrew & Palumbo, Dario, 2023. "Score-driven models for realized volatility," Journal of Econometrics, Elsevier, vol. 237(2).
- Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020.
"Economic Policy Uncertainty: Persistence and Cross-Country Linkages,"
CESifo Working Paper Series
8289, CESifo.
- Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
- Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022.
"Weak Identification of Long Memory with Implications for Inference,"
Cowles Foundation Discussion Papers
2334, Cowles Foundation for Research in Economics, Yale University.
- Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
- Dooyeon Cho & Seunghwa Rho, 2022. "On asymmetric volatility effects in currency markets," Empirical Economics, Springer, vol. 62(5), pages 2149-2177, May.
- Cho, Dooyeon, 2021. "On the predictability of the distribution of excess returns in currency markets," International Journal of Forecasting, Elsevier, vol. 37(2), pages 511-530.
- Papantonis Ioannis & Rompolis Leonidas S. & Tzavalis Elias & Agapitos Orestis, 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
- Harvey, A. & Palumbo, D., 2019.
"Score-Driven Models for Realized Volatility,"
Cambridge Working Papers in Economics
1950, Faculty of Economics, University of Cambridge.
Articles
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019.
"Long Memory, Realized Volatility and Heterogeneous Autoregressive Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 609-628, July.
Cited by:
- Harvey, A. & Palumbo, D., 2019.
"Score-Driven Models for Realized Volatility,"
Cambridge Working Papers in Economics
1950, Faculty of Economics, University of Cambridge.
- Harvey, Andrew & Palumbo, Dario, 2023. "Score-driven models for realized volatility," Journal of Econometrics, Elsevier, vol. 237(2).
- Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020.
"Economic Policy Uncertainty: Persistence and Cross-Country Linkages,"
CESifo Working Paper Series
8289, CESifo.
- Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
- Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022.
"Weak Identification of Long Memory with Implications for Inference,"
Cowles Foundation Discussion Papers
2334, Cowles Foundation for Research in Economics, Yale University.
- Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
- Dooyeon Cho & Seunghwa Rho, 2022. "On asymmetric volatility effects in currency markets," Empirical Economics, Springer, vol. 62(5), pages 2149-2177, May.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
- Cho, Dooyeon, 2021. "On the predictability of the distribution of excess returns in currency markets," International Journal of Forecasting, Elsevier, vol. 37(2), pages 511-530.
- Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
- Papantonis Ioannis & Rompolis Leonidas S. & Tzavalis Elias & Agapitos Orestis, 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
- Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Annals of Finance, Springer, vol. 17(4), pages 529-558, December.
- Uwe Hassler & Marc-Oliver Pohle, 2019. "Forecasting under Long Memory and Nonstationarity," Papers 1910.08202, arXiv.org.
- Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
- Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
- Constandina Koki & Loukia Meligkotsidou & Ioannis Vrontos, 2020. "Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 580-598, July.
- Richard T. Baillie & Dooyeon Cho & Seunghwa Rho, 2023. "Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility," Empirical Economics, Springer, vol. 64(6), pages 2911-2937, June.
- Baillie, Richard T. & Cho, Dooyeon & Rho, Seunghwa, 2024. "Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs," Econometrics and Statistics, Elsevier, vol. 29(C), pages 88-112.
- Harvey, A. & Palumbo, D., 2019.
"Score-Driven Models for Realized Volatility,"
Cambridge Working Papers in Economics
1950, Faculty of Economics, University of Cambridge.
- Rho, Seung-Hwa & Vogelsang, Timothy J., 2019.
"Heteroskedasticity Autocorrelation Robust Inference In Time Series Regressions With Missing Data,"
Econometric Theory, Cambridge University Press, vol. 35(3), pages 601-629, June.
Cited by:
- Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
- Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
- Kaicheng Chen & Timothy J. Vogelsang, 2023. "Fixed-b Asymptotics for Panel Models with Two-Way Clustering," Papers 2309.08707, arXiv.org, revised Aug 2024.
- Seunghwa Rho & Peter Schmidt, 2015.
"Are all firms inefficient?,"
Journal of Productivity Analysis, Springer, vol. 43(3), pages 327-349, June.
Cited by:
- Centorrino, Samuele & Pérez-Urdiales, María, 2023.
"Maximum likelihood estimation of stochastic frontier models with endogeneity,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 82-105.
- Samuele Centorrino & Mar'ia P'erez-Urdiales, 2020. "Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity," Papers 2004.12369, arXiv.org, revised Mar 2021.
- Centorrino, Samuele & Perez Urdiales, Maria, 2021. "Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 312072, Agricultural Economics Society - AES.
- Papadopoulos, Alecos & Parmeter, Christopher F., 2021. "Type II failure and specification testing in the Stochastic Frontier Model," European Journal of Operational Research, Elsevier, vol. 293(3), pages 990-1001.
- Centorrino, Samuele & Pérez-Urdiales, María & Bravo-Ureta, Boris & Wall, Alan, 2022.
"Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador,"
Efficiency Series Papers
2022/02, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
- Samuele Centorrino & Maria P'erez-Urdiales & Boris Bravo-Ureta & Alan J. Wall, 2023. "Binary Endogenous Treatment in Stochastic Frontier Models with an Application to Soil Conservation in El Salvador," Papers 2312.13939, arXiv.org.
- Centorrino, Samuele & Perez Urdiales, Maria & Bravo-Ureta, Boris & Wall, Alan, 2021. "Binary Endogenous Treatment in Stochastic Frontier Models with an Application to Soil Conservation in El Salvador," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 312058, Agricultural Economics Society - AES.
- Samuele Centorrino & María Pérez‐Urdiales & Boris Bravo‐Ureta & Alan Wall, 2024. "Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 365-382, April.
- Christopher F. Parmeter & Alan T. K. Wan & Xinyu Zhang, 2019.
"Model averaging estimators for the stochastic frontier model,"
Journal of Productivity Analysis, Springer, vol. 51(2), pages 91-103, June.
- Christopher F. Parmeter & Alan T. K. Wan & Xinyu Zhang, 2016. "Model Averaging Estimators for the Stochastic Frontier Model," Working Papers 2016-09, University of Miami, Department of Economics.
- Taining Wang & Jinjing Tian & Feng Yao, 2021. "Does high debt ratio influence Chinese firms’ performance? A semiparametric stochastic frontier approach with zero inefficiency," Empirical Economics, Springer, vol. 61(2), pages 587-636, August.
- Orea, Luis & Steinbuks, Jevgenijs, 2012.
"Estimating Market Power in Homogenous Product Markets Using a Composed Error Model: Application to the California Electricity Market,"
Efficiency Series Papers
2012/02, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
- Luis Orea & Jevgenijs Steinbuks, 2018. "Estimating Market Power In Homogenous Product Markets Using A Composed Error Model: Application To The California Electricity Market," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 1296-1321, April.
- Orea, L. & Steinbuks, J., 2012. "Estimating market power in homogenous product markets using a composed error model: application to the California electricity market," Cambridge Working Papers in Economics 1220, Faculty of Economics, University of Cambridge.
- Luis Orea & Jevgenijs Steinbuks, 2012. "Estimating Market Power in Homogeneous Product Markets Using a Composed Error Model: Application to the California Electricity Market," Working Papers EPRG 1210, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Tran, Kien C. & Tsionas, Mike G., 2016. "On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors," Economics Letters, Elsevier, vol. 147(C), pages 19-22.
- Luis Orea & Tooraj Jamasb, 2017.
"Regulating Heterogeneous Utilities: A New Latent Class Approach with Application to the Norwegian Electricity Distribution Networks,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Luis Orea & Tooraj Jamasb, 2017. "Regulating Heterogeneous Utilities: A New Latent Class Approach with Application to the Norwegian Electricity Distribution Networks," The Energy Journal, , vol. 38(4), pages 101-127, July.
- Tsionas, Mike G. & Assaf, A. George & Andrikopoulos, Athanasios, 2020. "Quantile stochastic frontier models with endogeneity," Economics Letters, Elsevier, vol. 188(C).
- Tran, Kien C. & Tsionas, Mike G., 2016. "Zero-inefficiency stochastic frontier models with varying mixing proportion: A semiparametric approach," European Journal of Operational Research, Elsevier, vol. 249(3), pages 1113-1123.
- Mark Andor & Christopher Parmeter, 2017.
"Pseudolikelihood estimation of the stochastic frontier model,"
Applied Economics, Taylor & Francis Journals, vol. 49(55), pages 5651-5661, November.
- Andor, Mark & Parmeter, Christopher, 2017. "Pseudolikelihood estimation of the stochastic frontier model," Ruhr Economic Papers 693, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Alecos Papadopoulos & Christopher F. Parmeter, 2024. "The wrong skewness problem in stochastic frontier analysis: a review," Journal of Productivity Analysis, Springer, vol. 61(2), pages 121-134, April.
- Juan Cabas Monje & Bouali Guesmi & Amer Ait Sidhoum & José María Gil, 2023. "Measuring technical efficiency of Spanish pig farming: Quantile stochastic frontier approach," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 67(4), pages 688-703, October.
- E. Fusco & R. Benedetti & F. Vidoli, 2023. "Stochastic frontier estimation through parametric modelling of quantile regression coefficients," Empirical Economics, Springer, vol. 64(2), pages 869-896, February.
- Jianxu Liu & Sanzidur Rahman & Songsak Sriboonchitta & Aree Wiboonpongse, 2017. "Enhancing Productivity and Resource Conservation by Eliminating Inefficiency of Thai Rice Farmers: A Zero Inefficiency Stochastic Frontier Approach," Sustainability, MDPI, vol. 9(5), pages 1-18, May.
- Marcos Gonçalves Perroni & Claudimar Pereira da Veiga & Zhaohui Su & Fernando Maciel Ramos & Wesley Vieira da Silva, 2023. "Dynamic Equilibrium of Sustainable Ecosystem Variables: An Experiment," Sustainability, MDPI, vol. 15(8), pages 1-21, April.
- Alexander D. Stead & Phill Wheat & William H. Greene, 2023. "On hypothesis testing in latent class and finite mixture stochastic frontier models, with application to a contaminated normal-half normal model," Journal of Productivity Analysis, Springer, vol. 60(1), pages 37-48, August.
- Papadopoulos, Alecos & Parmeter, Christopher F., 2023. "A specification test for the composed error term in the stochastic frontier model," Economics Letters, Elsevier, vol. 233(C).
- Yao, Feng & Wang, Taining & Tian, Jinjing & Kumbhakar, Subal C., 2018. "Estimation of a smooth coefficient zero-inefficiency panel stochastic frontier model: A semiparametric approach," Economics Letters, Elsevier, vol. 166(C), pages 25-30.
- Kien C. Tran & Mike G. Tsionas & Emmanuel Mamatzakis, 2020. "Why fully efficient banks matter? A nonparametric stochastic frontier approach in the presence of fully efficient banks," Empirical Economics, Springer, vol. 58(6), pages 2733-2760, June.
- Monje, Juan Cabas & Sidhoum, Amer Ait & Gil, Jose M., 2021. "Investigating Technical Efficiency of Spanish Pig Farming: A Quantile Regression Approach," 2021 Conference, August 17-31, 2021, Virtual 315196, International Association of Agricultural Economists.
- Cheol-Keun Cho & Peter Schmidt, 2020. "The wrong skew problem in stochastic frontier models when inefficiency depends on environmental variables," Empirical Economics, Springer, vol. 58(5), pages 2031-2047, May.
- Centorrino, Samuele & Pérez-Urdiales, María, 2023.
"Maximum likelihood estimation of stochastic frontier models with endogeneity,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 82-105.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (1) 2019-04-01. Author is listed
- NEP-ETS: Econometric Time Series (1) 2019-04-01. Author is listed
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Seunghwa Rho should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.