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Box-Cox transformation for conditional heteroscedasticity in domestic financial time series
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 황선영 | - |
| dc.contributor.author | 이지혜 | - |
| dc.date.available | 2021-02-22T11:25:49Z | - |
| dc.date.issued | 2004-06 | - |
| dc.identifier.issn | 1598-9402 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/9614 | - |
| dc.description.abstract | Box-Cox power transformation is employed for analyzing volatilities in Korean financial time series such as KOSPI, KOSDAQ index and interest rates. Statistical procedures for Box-Cox transformed ARCH models are presented. For illustration, diverse financial time series data are analyzed and appropriate power transformations are suggested for each data. | - |
| dc.format.extent | 10 | - |
| dc.language | 한국어 | - |
| dc.language.iso | KOR | - |
| dc.publisher | 한국데이터정보과학회 | - |
| dc.title | Box-Cox transformation for conditional heteroscedasticity in domestic financial time series | - |
| dc.type | Article | - |
| dc.publisher.location | South Korea | - |
| dc.identifier.bibliographicCitation | 한국데이터정보과학회지, v.15, no.2, pp 413 - 422 | - |
| dc.citation.title | 한국데이터정보과학회지 | - |
| dc.citation.volume | 15 | - |
| dc.citation.number | 2 | - |
| dc.citation.startPage | 413 | - |
| dc.citation.endPage | 422 | - |
| dc.identifier.kciid | ART000930648 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | kciCandi | - |
| dc.subject.keywordAuthor | ARCH | - |
| dc.subject.keywordAuthor | Box-Cox transformation | - |
| dc.subject.keywordAuthor | financial time series | - |
| dc.subject.keywordAuthor | ARCH | - |
| dc.subject.keywordAuthor | Box-Cox transformation | - |
| dc.subject.keywordAuthor | financial time series | - |
| dc.identifier.url | http://www.dbpia.co.kr/journal/articleDetail?nodeId=NODE07243729 | - |
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