A recent overview on financial and special time series models금융 및 특수시계열 모형의 조망
- Other Titles
- 금융 및 특수시계열 모형의 조망
- Authors
- 황선영
- Issue Date
- Feb-2016
- Publisher
- 한국통계학회
- Keywords
- 금융시계열; GARCH 형태의 모형; 금융시계열의 특징(stylized facts); financial time series; GARCH type models; stylized facts
- Citation
- 응용통계연구, v.29, no.1, pp 1 - 12
- Pages
- 12
- Journal Title
- 응용통계연구
- Volume
- 29
- Number
- 1
- Start Page
- 1
- End Page
- 12
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/3546
- DOI
- 10.5351/KJAS.2016.29.1.001
- ISSN
- 1225-066X
- Abstract
- Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as “stylized facts” in financial time series context (Terasvirta, 2009). We are accordingly led to ad hoc models (apart from ARMA) to accommodate stylized facts (Andersen et al., 2009). The paper aims to give a contemporary overview on financial and special time series models based on the recent literature and on the author’s pub-lications. Various models are illustrated including asymmetric models, integer valued models, multivariate models and high frequency models. Selected statistical issues on the models are discussed, bringing some perspectives to the future works in this area.
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