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사후검증(Back-testing)을 통한 다변량-GARCH 모형의 평가: 사례분석
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황선영
; 최문선; 도종두
Article
Issue Date
2009
Citation
응용통계연구, v.22, no.2, pp 261 - 270
Publisher
한국통계학회
DCC 모델링을 이용한 다변량-GARCH 모형의 분석 및 응용
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최성미; 홍선영; 최문선; 박진아; 백지선;
황선영
Article
Issue Date
2009
Citation
응용통계연구, v.22, no.5, pp 995 - 1005
Publisher
한국통계학회
1
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Author
도종두
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박진아
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백지선
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최성미
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홍선영
1
Subject
back-testing
1
CCC(constant conditional correlat...
1
DCC(dynamic conditional correlati...
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Muitivariate GARCH
1
Multivariate-GARCH
1
stock prices data.
1
Value at Risk
1
VaR
1
국내주가자료.
1
다변량 GARCH 모형
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