Volatility for High Frequency Time Series Toward fGARCH (1,1) as a Functional Model
DC Field | Value | Language |
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dc.contributor.author | 황선영 | - |
dc.contributor.author | 윤재은 | - |
dc.date.available | 2021-02-22T07:46:25Z | - |
dc.date.issued | 2018-11 | - |
dc.identifier.issn | 2288-1344 | - |
dc.identifier.issn | 2508-7185 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/4172 | - |
dc.description.abstract | As high frequency (HF, for short) time series is now prevalent in the presence of real time big data, volatility computations based on traditional ARCH/GARCH models need to be further developed to suit the high frequency characteristics. This article reviews realized volatilities (RV) and multivariate GARCH (MGARCH) to deal with high frequency volatility computations. As a (functional) infinite dimensional models, the fARCH and fGARCH are introduced to accommodate ultra high frequency (UHF) volatilities. The fARCH and fGARCH models are developed in the recent literature by Hormann et al. [1] and Aue et al. [2], respectively, and our discussions are mainly based on these two key articles. Real data applications to domestic UHF financial time series are illustrated. | - |
dc.format.extent | 7 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | 자연과학연구소 | - |
dc.title | Volatility for High Frequency Time Series Toward fGARCH (1,1) as a Functional Model | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.22283/qbs.2018.37.2.73 | - |
dc.identifier.bibliographicCitation | Quantitative Bio-Science, v.37, no.2, pp 73 - 79 | - |
dc.citation.title | Quantitative Bio-Science | - |
dc.citation.volume | 37 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 73 | - |
dc.citation.endPage | 79 | - |
dc.identifier.kciid | ART002410347 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Functional GARCH (fGARCH) | - |
dc.subject.keywordAuthor | High frequency | - |
dc.subject.keywordAuthor | Multivariate GARCH (MGARCH) | - |
dc.identifier.url | http://www.dbpia.co.kr./journal/articleDetail?nodeId=NODE08008764 | - |
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