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장기기억과 비대칭성을 고려한 VaR 및 전이효과에 관한 연구 = Study on VaR and spillover effect considering long memory and asymmetry

노현승 2015년

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' 장기기억과 비대칭성을 고려한 VaR 및 전이효과에 관한 연구 = Study on VaR and spillover effect considering long memory and asymmetry' 의 주제별 논문영향력
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논문영향력 요약
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  • var
  • 군집현상
  • 비대칭성
  • 장기기억
  • 전이효과
  • 주식시장
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' 장기기억과 비대칭성을 고려한 VaR 및 전이효과에 관한 연구 = Study on VaR and spillover effect considering long memory and asymmetry' 의 참고문헌

  • 한국의 선물가격 변동성과 비대칭 분석 : GARCH, EGARCH, TARCH 분석
    이재득 경제연구, 21(3), 145-170 [2003]
  • 한국과 중국 주식시장의 동조화 현상에 관한 연구 : 글로벌 금융위기 전후 비교를 중심으로
    Kim ) 김태혁 박종해 변영태 정대성 금융공학연구, 9(2), 29-51 [2010]
  • 한국과 중국 주식시장에서의 변동성 전이효과분석
    김병준 금융지식연구, 7(2), 39-69 [2009]
  • 한국과 미국의 주가 동조화 현상 및 국내 주식시장의 효율성 분석
    이한식 장병문 금융연구, 16(1), 126-148 [2001]
  • 한국, 중국 및 미국 주식시장의 동조화
    김석진 도영호 포영영 재무관리연구, 28(2), 1-23 [2011]
  • 한국 주식시장의 이원적 장기기억 특성
    강상훈 김경식 윤성민 경제연구, 24(2), 259-286 [2006]
  • 한국 주가지수는 동조화되어 있는가?
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