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초록
News Impact Curves(NIC) developed by Engle and Ng (1993) have been useful for graphically representing the volatilities arising from financial time series. Adding an improvement and refinement to the original NIC, this article proposes so called two dimensional NIC and principal component NIC. We illustrate the methodology via Kosdaq data.
키워드
News Impact Curve; principal component; volatility.; News Impact Curve; 주성분 분석; 변동성.
- 제목
- A Graphical Improvement in Volatility Analysis for Financial Series
- 제목 (타언어)
- 시계열 변동성 그래프의 개선
- 저자
- 이정원; 윤재은; 황선영
- 발행일
- 2013-10
- 저널명
- 응용통계연구
- 권
- 26
- 호
- 5
- 페이지
- 785 ~ 796