Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Binary Random Power Approach to Modeling Asymmetric Conditional Heteroscedasticity
Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 김삼용 | - |
| dc.contributor.author | S.Y.Hwang | - |
| dc.date.available | 2021-02-22T15:48:30Z | - |
| dc.date.issued | 2005-03 | - |
| dc.identifier.issn | 1226-3192 | - |
| dc.identifier.issn | 1876-4231 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/15677 | - |
| dc.description.abstract | A class of asymmetric ARCH processes is proposed via binary randompower transformations. This class accommodates traditional nonlinear modelssuch as threshold ARCH (Rabemanjara and Zacoian (1993)) and Box-Coxtype ARCH models(Higgins and Bera (1992)). Stationarity condition of themodel is addressed. Iterative least squares(ILS) and pseudo maximum likelihood(PML) methods are discussed for estimating parameters and relatedalgorithms are presented. Illustrative analysis for Korea Stock Prices Index(KOSPI) data is conducted. | - |
| dc.format.extent | 11 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | 한국통계학회 | - |
| dc.title | Binary Random Power Approach to Modeling Asymmetric Conditional Heteroscedasticity | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.bibliographicCitation | Journal of the Korean Statistical Society, v.34, no.1, pp 61 - 71 | - |
| dc.citation.title | Journal of the Korean Statistical Society | - |
| dc.citation.volume | 34 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 61 | - |
| dc.citation.endPage | 71 | - |
| dc.identifier.kciid | ART000958121 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | Asymmetric ARCH | - |
| dc.subject.keywordAuthor | binary random power | - |
| dc.subject.keywordAuthor | iterative least squares(ILS) | - |
| dc.subject.keywordAuthor | KOSPI data | - |
| dc.subject.keywordAuthor | pseudo maximum likelihood(PML). | - |
| dc.identifier.url | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART000958121 | - |
- Files in This Item
- Go to Link
- Appears in
Collections - 이과대학 > 통계학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.