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초록
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.
키워드
ARCH; Box-Cox transformation; financial time series; ARCH; Box-Cox transformation; financial time series
- 제목
- Box-Cox transformation for conditional heteroscedasticity in domestic financial time series
- 저자
- 황선영; 이지혜
- 발행일
- 2004-06
- 저널명
- 한국데이터정보과학회지
- 권
- 15
- 호
- 2
- 페이지
- 413 ~ 422