Statistical Interpretation of Economic Bubbles
- Authors
- 여인권
- Issue Date
- Dec-2012
- Publisher
- 한국통계학회
- Keywords
- GARCH model; leverage effect; skewness; Yeo-Johnson transformation.
- Citation
- 응용통계연구, v.25, no.6, pp 889 - 896
- Pages
- 8
- Journal Title
- 응용통계연구
- Volume
- 25
- Number
- 6
- Start Page
- 889
- End Page
- 896
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/12072
- DOI
- 10.5351/KJAS.2012.25.6.889
- ISSN
- 1225-066X
- Abstract
- In this paper, we propose a statistic to measure investor sentiment. It is a usual phenomenon that an asymmetric volatility (referred to as the leverage effect) is observed in financial time series and is more sensitive to bad news rather than good news. In a bubble state, investors tend to continuously speculate on financial instruments because of optimism about the future; subsequently, prices tend to abnormally increase for a long time. Estimators of the transformation parameter and the skewness based on Yeo-Johnson transformed GARCH models are employed to check whether a bubble or abnormality exist. We verify the appropriacy of the proposed interpretation through analyses of KOSPI and NIKKEI.
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