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DCC 모델링을 이용한 다변량-GARCH 모형의 분석 및 응용
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최성미; 홍선영; 최문선; 박진아; 백지선;
황선영
Article
Issue Date
2009
Citation
응용통계연구, v.22, no.5, pp 995 - 1005
Publisher
한국통계학회
제곱수익률 그래프와 TGARCH 모형을 이용한 비대칭 변동성 분석
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박진아; 송유진; 백지선;
황선영
; 최문선
Article
Issue Date
2007
Citation
응용통계연구, v.20, no.3, pp 487 - 497
Publisher
한국통계학회
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Asymmetric heteroscedasticity
1
CCC(constant conditional correlat...
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DCC(dynamic conditional correlati...
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Multivariate-GARCH
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squared log-return
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