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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
Choice of frequency via principal component in high-frequency multivariate volatility models
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진민경; 윤재은;
황선영
Article
Issue Date
2017
Citation
응용통계연구, v.30, no.5, pp 747 - 757
Publisher
한국통계학회
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Author
김종민
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진민경
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Subject
high frequency
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fARCH
1
intraday volatility
1
multivariate volatility
1
principal component
1
다변량 변동성
1
일중(intraday) 변동성
1
주성분
1
함수적-ARCH(fARCH)
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Article
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응용통계연구
2
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