ScholarWorks@Sookmyung Women's University: Hwang, Sun Young

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Hwang, Sun Young (황선영)

Science (Department of Statistics)

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Tel 02-710-9622
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GARCH:7||Copula:5||ARCH:5||비대칭 변동성:5||Korean financial time series:4||News Impact Curve:4||power transformation:4||Directional dependence:4||VaR:3||financial time series:3||모수적 붓스트랩:3||Central limit theorem:3||high frequency:3||1):3||MultivariateGARCH:3||parametric bootstrap:3||multivariate volatility:3||asymmetric volatility:3||Asymptotic optimality:3||고빈도 시계열:3||Quasilikelihood:3||Asymmetric volatility:3||Quasilikelihood:2||ACD:2||Large sample tests:2||Lasso:2||Forecast:2||BOKX12ARIMA:2||다변량 변동성:2||다변량GARCH:2||Random norm:2||nonlinear time series:2||copula directional dependence:2||Artificial variable:2||Beta regression model:2||MAD.:2||MGARCH:2||비정상 변동성:2||사후검증:2||Stochastic volatility:2||MSE:2||실현변동성:2||principal component:2||DCC(dynamic conditional correlation).:2||Bifurcating model:2||Test For Asymmetry:2||quasilikelihood:2||Threshold GARCH:2||ergodicity:2||CART:2||Bilinear GARCH:2||realized volatility:2||Threshold model:2||ThresholdARCH:2||sample autocorrelations:2||Martingale estimating functions:2||CCC(constant conditional correlation):2||fARCH:2||Vector AR:2||IGARCH:2||IGARCH(1:2||Value at Risk(VaR):2||functional PCA:2||Varimax rotation:2||generalized least squares:2||BoxCox:2||Incomplete variable:2||threshold ARCH:2||high frequency time series:2||highfrequency time series:2||Error Correction Model:2||Interpretation:2||Irregular component:2||Nonlinear AR:2||Nonlinear ARCH:2||backtesting:2||Joint Prediction Region:2||Kmeans clustering:2||BoxCox transformation:2||Classification:2||zeroinflated INGARCH:2||local asymptotic normality:2||Pathwise stationarity:2||Cointegration:2||Primary 62M10:2||고빈도 자료:2||Quasimaximum likelihood:2||Multivariate GARCH (MGARCH):1||Nearly infill domain sampling:1||Nonergodic EF:1||Nonidentical distribution:1||Nonstationary ARCH:1||Nonstationary quasilikelihood:1||Nonstationary randomcoefficient AR:1||Nonlinear ARCH References:1||Nonlinear autoregressive processes:1||Nonparametric test:1||Optimum Godambe score:1||Partial quantification:1||Partially specified model:1||Permutation test:1||Persistent volatility:1||Quasilikelihood and maximum likelihood estimation:1||Quasilikelihood estimation:1||Rfunctions:1||R함수:1||Random Walk:1||Reduced Ustatistic:1||Score:1||Score test:1||Skewed tdistribution:1||Slowexplosive AR(1):1||Sparse data:1||Stochastic volatility model:1||TGARCH(1:1||Taylor property:1||Taylor 성질:1||Threshold error:1||Threshold integervalued ARCH:1||Thresholdinnovation:1||Two dimensional NIC:1||Twosided test for random walk:1||Ustatistic:1||Unknown likelihood:1||Value at Risk:1||Varying coefficient:1||Volatility:1||asymmetric TGARCH:1||asymmetricTGARCH:1||asymptotic inference:1||asymptotic optimality:1||asymptotically uncorrelated.:1||autocorrelation:1||autocorrelation function:1||autoregressive processes:1||beta logit model:1||beta regression model:1||bias reduction:1||bimodal kernel:1||binary random power:1||block bootstraps:1||branching correlation:1||branching process:1||branching tree:1||categorical time series:1||cation:1||conditional Poisson:1||conditional heteroscedasticity:1||conditional leastsquares:1||conditionally heteroscedastic errors:1||conditionally heteroscedastic time series.:1||contiguity:1||convergence rate change:1||copula:1||copula DCC model:1||correlated error:1||correlation:1||critical process:1||dependencies:1||dependency:1||dependent wild bootstrap:1||dimension reduction:1||doublethreshold ACDGARCH:1||doubly robustified estimating function:1||dynamic conditional correlation:1||efficient estimation:1||efficient tests:1||estimating function:1||exact joint asymptotic distribution:1||explosive AR(1):1||explosive autoregressive model:1||extended MA() model:1||extendedCCC (ECCC):1||fGARCH:1||factor model:1||fertility:1||financial data in Korea:1||function estimation:1||functional ARCH model:1||functional volatility:1||geometric ergodicity:1||heteroscedastic GARCH:1||high frequency GARCH:1||high frequency data:1||hybrid volatility:1||inference for Markov processes:1||information matrix:1||integervalued GARCH(INGARCH):1||integervalued time series:1||integervalued time series model:1||interactions.:1||intraday volatility:1||iterative least squares(ILS):1||joint asymptotic distribution:1||kernel matching:1||kernel regression:1||lattice processes:1||least squares:1||logreturn:1||longrange dependence stationarity test:1||martingale estimating functions:1||maximum likelihood:1||model speci&macr:1||multicast model:1||multiplethreshold:1||multivariate GARCH:1||multivariate GARCH.:1||neighbourhood problem:1||nonergodic process:1||nonnegative and sparse canonical correlation analysis(NSCCA):1||nonstationary:1||nonstationary volatility:1||nonlinear GARCH:1||nonparametric density test:1||nonparametric specification test:1||overdispersion:1||patent analysis:1||patent big data:1||persistency parameter:1||persistent:1||persistent eect:1||preliminary test of fit:1||profile Godambe information:1||pseudo maximum likelihood(PML).:1||quadratic mean differentiability:1||quasimaximum likelihood:1||quasilikelihood:1||quasilikelihood estimation:1||random coefficient AR(1):1||realized volatility (RV):1||reduced structure:1||scalefree network:1||seasonal error correction model:1||seasonal time series:1||semiparametric tests:1||size and power distortions:1||smoothing parameter selector:1||squared logreturn:1||squared process:1||squared residual.:1||stationary moments:1||stock prices data.:1||strong dependency:1||stylized facts:1||test for linearity:1||test of criticality:1||test of linearity:1||tests for ARCH structure:1||threshold:1||threshold GARCH:1||threshold model.:1||thresholdRV:1||thresholdasymmetric GARCH:1||thresholdasymmetry:1||time series:1||timeVarying correlation:1||transition probabilities:1||treeindexed AR:1||ultra high frequency:1||volatility:1||volatility with nonzero origin:1||volatilitynonstationary:1||volatility.:1||weighted and ordinary least squares:1||weighted hybrid volatility:1||zeroinflated Poisson model:1||αmixing:1||가중 융합 변동성:1||계수 시계열:1||계절 시계열:1||고빈도 금융시계열:1||고빈도 자료 기반 방법:1||고빈도GARCH:1||과산포:1||국내금융시계열 자료.:1||국내주가자료.:1||금융시계열:1||금융시계열의 특징(stylized facts):1||다변량 GARCH:1||다변량 GARCH 모형:1||다중 임계점:1||멱변환:1||모형식별:1||범주형(categorical) 시계열:1||변동성.:1||변동성간의 상호작용:1||부분수량화(partial quantification):1||분계점 실현변동성:1||비대칭 TGARCH:1||비음(nonnegative) 정준상관분석:1||상수 조건부 상관(CCC).:1||상수조건부상관:1||영과잉 변동성 모형:1||영과잉 GARCH:1||원점 이동한 변동성:1||융합 방법.:1||이분산(heteroscedastic) 시계열:1||이중분계점 ACDGARCH:1||이중선형GARCH:1||이차원 뉴스 임팩트 커브:1||인자 모형:1||일별수익률:1||일중(intraday) 변동성:1||자기상관함수:1||정수값 GARCH (INGARCH):1||정수값GARCH (INGARCH):1||정준상관분석:1||조건부 포아송 및 음이항 분포:1||조정된 실현변동성:1||주성분:1||주성분 분석:1||지속변동성:1||지속성 효과:1||차원 축소(dimension reduction):1||초고빈도 시계열:1||클리핑(clipping):1||함수적 변동성:1||함수적ARCH(fARCH):1||함수적GARCH 모형:1||함수형 주성분분석:1||.:1||확장된 상수조건부상관:1||1)모형:1||60F17:1||62G20:1||AR(1):1||ARCH errors:1||ARCH model:1||AVGARCH:1||AVGARCH(1:1||Asymmetric ARCH:1||Asymmetric Garch models:1||Asymmetric errors:1||Asymmetric heteroscedasticity:1||Asymptotics:1||Autoregression:1||Autoregressive (AR) process:1||Barelystationary AR(1):1||Bifurcating autoregression:1||BoxCox regression model:1||BoxCox 변환된 패널회귀모형:1||Boxcox transformation:1||Branching Markov processes:1||Branching correlation:1||Branching heteroscedasticity:1||Branching process:1||Branching processes:1||BranchingMarkov process:1||CCC:1||Canonical correlation analysis(CCA):1||Cauchy mixture:1||Change point detection:1||Clipping:1||Conditional asymptotics:1||Conditional exponential family:1||Constant conditional correlation (CCC):1||Count data:1||Count time series:1||Cumulative impulse response function:1||DF test:1||DLR:1||Density approach:1||Density estimation:1||Dependent errors:1||Ergodicity:1||Error Structure:1||Estimating function (EF):1||Explosive AR(1):1||Explosive AR(1) Time Series:1||Explosive AR(1) process:1||Explosive randomcoefficient ar(1) processes:1||Feasible score:1||Functional ARCH model:1||Functional GARCH (fGARCH):1||GARCH type models:1||GARCH 형태의 모형:1||GARCHtype:1||Gaussian reduced rank estimation:1||Generalized autoregressive conditional heteroscedasticity:1||Generalized multicast autoregressive model:1||Godambe estimating functions:1||Granger causality:1||High frequency:1||Huber's function:1||Initial value:1||Instrumental score:1||Integervalued time series:1||KOSPI data:1||Korean nancial time series.This work was supported by the SRC program of KOSEF(R11200007300000).:1||LAMN (local asymptotic mixed normality):1||LAN:1||LM tests.:1||LM검정:1||Law of large numbers:1||Least square estimator:1||Least squares:1||Leastsquares estimation:1||Limiting mixture distribution:1||Limiting standard errors:1||Markov processes:1||Markov random fields:1||Martingale:1||Martingale array:1||Martingale convergence theorem:1||Maximum likelihood:1||Muitivariate GARCH:1||Multicasting data:1||Multicasting tree:1||

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Sookmyung Women's University. Cheongpa-ro 47-gil 100 (Cheongpa-dong 2ga), Yongsan-gu, Seoul, 04310, Korea02-710-9127

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