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Extended Constant Conditional Correlation (ECCC) Model for Multivariate GARCH Time Series: an Illustration
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 이승연 | - |
| dc.contributor.author | 황선영 | - |
| dc.date.available | 2021-02-22T10:52:02Z | - |
| dc.date.issued | 2014-12 | - |
| dc.identifier.issn | 1225-066X | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/5662 | - |
| dc.description.abstract | Constant conditional correlation (CCC) is frequently employed for parsimony in the field of multivariate GARCH time series. An extended-CCC (ECCC) model is further developed in order to allow interactions between multivariate volatilities. The paper introduces both CCC model and ECCC model to the domestic financial time series. The CCC and ECCC models are fitted and then compared with each other through various multivatiate time series. | - |
| dc.format.extent | 10 | - |
| dc.language | 한국어 | - |
| dc.language.iso | KOR | - |
| dc.publisher | 한국통계학회 | - |
| dc.title | Extended Constant Conditional Correlation (ECCC) Model for Multivariate GARCH Time Series: an Illustration | - |
| dc.title.alternative | 다변량 GARCH 모형의 CCC 및 ECCC 비교분석 | - |
| dc.type | Article | - |
| dc.publisher.location | South Korea | - |
| dc.identifier.doi | 10.5351/KJAS.2014.27.7.1219 | - |
| dc.identifier.bibliographicCitation | 응용통계연구, v.27, no.7, pp 1219 - 1228 | - |
| dc.citation.title | 응용통계연구 | - |
| dc.citation.volume | 27 | - |
| dc.citation.number | 7 | - |
| dc.citation.startPage | 1219 | - |
| dc.citation.endPage | 1228 | - |
| dc.identifier.kciid | ART001952283 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | Constant conditional correlation (CCC) | - |
| dc.subject.keywordAuthor | extended-CCC (ECCC) | - |
| dc.subject.keywordAuthor | interactions. | - |
| dc.subject.keywordAuthor | 상수조건부상관 | - |
| dc.subject.keywordAuthor | 확장된 상수조건부상관 | - |
| dc.subject.keywordAuthor | 변동성간의 상호작용 | - |
| dc.identifier.url | http://kiss.kstudy.com/thesis/thesis-view.asp?key=3290699 | - |
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