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A Graphical Improvement in Volatility Analysis for Financial Series시계열 변동성 그래프의 개선
- Other Titles
- 시계열 변동성 그래프의 개선
- Issue Date
- Oct-2013
- Publisher
- 한국통계학회
- Keywords
- News Impact Curve; principal component; volatility.; News Impact Curve; 주성분 분석; 변동성.
- Citation
- 응용통계연구, v.26, no.5, pp 785 - 796
- Pages
- 12
- Journal Title
- 응용통계연구
- Volume
- 26
- Number
- 5
- Start Page
- 785
- End Page
- 796
- ISSN
- 1225-066X
- Abstract
- News Impact Curves(NIC) developed by Engle and Ng (1993) have been useful for graphically representing the volatilities arising from financial time series. Adding an improvement and refinement to the original NIC, this article proposes so called two dimensional NIC and principal component NIC. We illustrate the methodology via Kosdaq data.
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Collections - 이과대학 > 통계학과 > 1. Journal Articles
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