연구동향 분석

Regime-dependent Characteristics of KOSPI Return

( Woo Hwan Kim ) ( Seung Beom Bang ) 2014년

논문상세정보
인용/피인용
' Regime-dependent Characteristics of KOSPI Return' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • financial crisis
  • finitemixturedistribution
  • kospi
  • regimeswitchinggjr-garchmodel
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
199 0

0.0%

' Regime-dependent Characteristics of KOSPI Return' 의 참고문헌

  • Why does stock market volatility change over time?
    Schwert, G. W. Journal of Finance 44 : 1115 ~ 1153 [1989]
  • Volatility regime-switching in European exchange rates prior to monetary unifi-cation
    Wilfling, B. Journal of International Money and Finance 28 : 240 ~ 270 [2009]
  • Theory and inference for a Markov switching GARCH model
    Bauwens, L. Econometrics Journal 13 : 218 ~ 244 [2012]
  • Regime switching in the relationship between equity returns and short-term interest rates in the UK
    Henry, O. T. Journal of Banking and Finance 33 : 405 ~ 414 [2009]
  • On the relation between the expected value and the volatility of the nominal excess return on stocks
    Glosten, L. R. Journal of Finance 48 : 1779 ~ 1801 [1993]
  • Modelling the conditional distribution of interest rates as a regime-switching process
    Gray, S. Journal of Financial Economics 42 : 27 ~ 62 [1996]
  • Maximum likelihood from incomplete data via the EM algorithm
    Dempster, A. P. Journal of the Royal Statistical Society Series B 39 : 1 ~ 38 [1977]
  • Improving GARCH volatility forecasts
    Klaassen, F. Empirical Economics 27 : 363 ~ 394 [2002]
  • Forecasting stock market volatility with regime-switching GARCH models
    Marcucci, J. Stud- ies in Nonlinear Dynamics & Econometrics 9 : 1 ~ 6 [2005]
  • DEoptim: Differential evolution optimization in R. R package version 2.0–4
  • Autoregressive Conditional Heteroskedasticity and Changes in Regime
    Hamilton, J. D. Journal of Econometrics 64 : 307 ~ 333 [1994]
  • Alternatives to the normal model of stock returns : Gaussian mixture generalised logF and generalised hyperbolic models
    Behr, A. Annals of Finance 5 : 49 ~ 68 [2009]
  • A new approach to the economic analysis of nonstationary time series and the 512 Woohwan Kim
    Hamilton, J. D. Seungbeom Bang [1989]
  • A new approach in Markov-switching GARCH models
    Haas, M. Journal Of Financial Econometrics 2 : 493 ~ 530 [2004]
  • A Markov model of unconditional variance in ARCH
    Cai, J. Journal of Business and Eco-nomic Statistics 12 : 309 ~ 316 [1994]