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The fGARCH(1,1) as a functional volatility measure of ultra high frequency time series
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윤재은; 김종민;
황선영
Article
Issue Date
2018
Citation
응용통계연구, v.31, no.5, pp 667 - 675
Publisher
한국통계학회
Functional ARCH (fARCH) for high-frequency time series: illustration
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윤재은; 김종민;
황선영
Article
Issue Date
2017
Citation
응용통계연구, v.30, no.6, pp 983 - 991
Publisher
한국통계학회
FPCA for volatility from high-frequency time series via R-function
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윤재은; 김종민;
황선영
Article
Issue Date
2020
Citation
응용통계연구, v.33, no.6, pp 805 - 812
Publisher
한국통계학회
1
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고빈도 시계열
2
fARCH
1
fGARCH
1
functional PCA
1
functional volatility
1
high frequency
1
high-frequency time series
1
intraday volatility
1
R-functions
1
R-함수
1
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