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Functional ARCH analysis for a choice of time interval in intraday return via multivariate volatility
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, D. H. | - |
| dc.contributor.author | Yoon, J. E. | - |
| dc.contributor.author | Hwang, S. Y. | - |
| dc.date.available | 2021-02-22T05:24:27Z | - |
| dc.date.issued | 2020-06 | - |
| dc.identifier.issn | 1225-066X | - |
| dc.identifier.issn | 2383-5818 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1452 | - |
| dc.description.abstract | We focus on the functional autoregressive conditional heteroscedasticity (fARCH) modelling to analyze intraday volatilities based on high frequency financial time series. Multivariate volatility models are investigated to approximate fARCH(1). A formula of multi-step ahead volatilities for fARCH(1) model is derived. As an application, in implementing fARCH(1), a choice of appropriate time interval for the intraday return is discussed. High frequency KOSPI data analysis is conducted to illustrate the main contributions of the article. | - |
| dc.format.extent | 12 | - |
| dc.language | 한국어 | - |
| dc.language.iso | KOR | - |
| dc.publisher | KOREAN STATISTICAL SOC | - |
| dc.title | Functional ARCH analysis for a choice of time interval in intraday return via multivariate volatility | - |
| dc.title.alternative | 함수형 ARCH 분석 및 다변량 변동성을 통한 일중 로그 수익률 시간 간격 선택 | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.doi | 10.5351/KJAS.2020.33.3.297 | - |
| dc.identifier.wosid | 000586858100006 | - |
| dc.identifier.bibliographicCitation | KOREAN JOURNAL OF APPLIED STATISTICS, v.33, no.3, pp 297 - 308 | - |
| dc.citation.title | KOREAN JOURNAL OF APPLIED STATISTICS | - |
| dc.citation.volume | 33 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 297 | - |
| dc.citation.endPage | 308 | - |
| dc.type.docType | Article | - |
| dc.identifier.kciid | ART002606829 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | esci | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
| dc.subject.keywordPlus | VARIANCE | - |
| dc.subject.keywordAuthor | fARCH | - |
| dc.subject.keywordAuthor | high frequency time series | - |
| dc.subject.keywordAuthor | multivariate volatility | - |
| dc.identifier.url | http://kiss.kstudy.com./thesis/thesis-view.asp?key=3811598 | - |
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