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A threshold-asymmetric realized volatility for high frequency financial time series
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 김지연 | - |
| dc.contributor.author | 황선영 | - |
| dc.date.available | 2021-02-22T05:32:23Z | - |
| dc.date.issued | 2018-04 | - |
| dc.identifier.issn | 1225-066X | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/2059 | - |
| dc.description.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. | - |
| dc.format.extent | 12 | - |
| dc.language | 한국어 | - |
| dc.language.iso | KOR | - |
| dc.publisher | 한국통계학회 | - |
| dc.title | A threshold-asymmetric realized volatility for high frequency financial time series | - |
| dc.title.alternative | 비대칭형 분계점 실현변동성의 제안 및 응용 | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.doi | 10.5351/KJAS.2018.31.2.205 | - |
| dc.identifier.wosid | 000437665800003 | - |
| dc.identifier.bibliographicCitation | 응용통계연구, v.31, no.2, pp 205 - 216 | - |
| dc.citation.title | 응용통계연구 | - |
| dc.citation.volume | 31 | - |
| dc.citation.number | 2 | - |
| dc.citation.startPage | 205 | - |
| dc.citation.endPage | 216 | - |
| dc.identifier.kciid | ART002343782 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | esci | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | high frequency | - |
| dc.subject.keywordAuthor | realized volatility (RV) | - |
| dc.subject.keywordAuthor | threshold-RV | - |
| dc.subject.keywordAuthor | 고빈도 자료 | - |
| dc.subject.keywordAuthor | 실현변동성 | - |
| dc.subject.keywordAuthor | 분계점 실현변동성 | - |
| dc.identifier.url | http://kiss.kstudy.com./thesis/thesis-view.asp?key=3592895 | - |
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