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News Impact Curve and Test for Asymmetric Volatility
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박진아; 최문선; 김강균;
황선영
Article
Issue Date
2007
Citation
한국데이터정보과학회지, v.18, no.3, pp 697 - 704
Publisher
한국데이터정보과학회
차원축소를 통한 다변량 시계열의 변동성 분석 및 응용
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송유진; 최문선;
황선영
Article
Issue Date
2008
Citation
Communications for Statistical Applications and Methods, v.15, no.6, pp 825 - 835
Publisher
한국통계학회
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Author
박진아
6
백지선
4
송유진
2
Kim, Kang Kyun
1
도종두
1
박란희
1
최성미
1
홍선영
1
Subject
Multivariate-GARCH
2
다변량-GARCH
2
1)
1
1)모형
1
Asymmetric heteroscedasticity
1
Asymmetric volatility
1
autocorrelation function
1
AVGARCH
1
AVGARCH(1
1
back-testing
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2011
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KOR
11
ENG
1
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응용통계연구
7
한국데이터정보과학회지
3
Communications for Statistical Ap...
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