Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
A threshold-asymmetric realized volatility for high frequency financial time series비대칭형 분계점 실현변동성의 제안 및 응용
- Other Titles
- 비대칭형 분계점 실현변동성의 제안 및 응용
- Issue Date
- Apr-2018
- Publisher
- 한국통계학회
- Keywords
- high frequency; realized volatility (RV); threshold-RV; 고빈도 자료; 실현변동성; 분계점 실현변동성
- Citation
- 응용통계연구, v.31, no.2, pp 205 - 216
- Pages
- 12
- Journal Title
- 응용통계연구
- Volume
- 31
- Number
- 2
- Start Page
- 205
- End Page
- 216
- ISSN
- 1225-066X
- Abstract
- This paper is concerned with volatility computations for high frequency time series. A threshold-asymmetric realized volatility (T-RV) is suggested to capture a leverage effect. The T-RV is compared with various con-ventional volatility computations including standard realized volatility, GARCH-type volatilities, historical volatility and exponentially weighted moving average volatility. High frequency KOSPI data are analyzed for illustration.
- 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.