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지속-변동성을 가진 비대칭 TGARCH 모형을 이용한 국내금융시계열 분석
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홍선영; 최성미; 박진아; 백지선;
황선영
Article
Issue Date
2009
Citation
Communications for Statistical Applications and Methods, v.16, no.4, pp 605 - 614
Publisher
한국통계학회
Cumulative Impulse Response Functions for a Class of Threshold-Asymmetric GARCH Processes
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박진아; 백지선;
황선영
Article
Issue Date
2010
Citation
Communications for Statistical Applications and Methods, v.17, no.2, pp 255 - 261
Publisher
한국통계학회
Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases
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박진아;
황선영
Article
Issue Date
2011
Citation
Communications for Statistical Applications and Methods, v.18, no.4, pp 477 - 483
Publisher
한국통계학회
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asymmetric TGARCH
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asymmetric-TGARCH
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back-testing
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Cumulative impulse response function
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log-return
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non-stationary
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persistent
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Persistent volatility
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