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101719865
학술지명
경영과 정보연구
권호사항
Vol. 34 No. 3 [ 2015 ]
발행처
대한경영정보학회
자료유형
학술저널
수록면
17-39 ( 23쪽)
언어
Korean
출판년도
2015
등재정보
KCI등재
판매처
학술교육원
주제어
Chow
MarkovRegimeSwitching
structural changes
Volatility
구조적 변화
마코브 국면전환
변동성
참고문헌( 45)
유사주제 논문( 479)
volatility 222건
변동성 196건
구조적 변화 46건
structural changes 10건
chow 4건
마코브 국면전환 1건
인용/피인용
마코브국면전환모형을 이용한 글로벌 주식시장의 변동 ...
' 마코브국면전환모형을 이용한 글로벌 주식시장의 변동성에 대한 연구' 의 주제별 논문영향력
논문영향력 요약
주제
chow
markovregimeswitching
structural changes
volatility
구조적 변화
마코브 국면전환
변동성
동일주제 총논문수
논문피인용 총횟수
주제별 논문영향력의 평균
486
0
0.0%
자세히
주제별 논문영향력
논문영향력
주제
주제별 논문수
주제별 피인용횟수
주제별 논문영향력
주제어
chow
5
0
0.0%
markovregimeswitching
1
0
0.0%
structural changes
11
0
0.0%
volatility
223
0
0.0%
구조적 변화
47
0
0.0%
마코브 국면전환
2
0
0.0%
변동성
197
0
0.0%
계
486
0
0.0%
* 다른 주제어 보유 논문에서 피인용된 횟수
0
닫기
' 마코브국면전환모형을 이용한 글로벌 주식시장의 변동성에 대한 연구'
의 참고문헌
코스닥시장의 가격제한폭 확대는 변동성을 증가시키는가?
박종해
정대성 ( )
경영과 정보연구 33 (2) : 119 ~ 133
[2014]
위키백과사전
Wikipedia
[2015]
외국인 거래행태의 비기대변동성은 주식수익률의 변동성에 영향을 주는가
변영태
경영과 정보연구 31 (4) : 593 ~ 609
[2012]
실현범위변동성(RRV) 및 기업고유변동성의 속성과 투자성과 측정
변영태
경영과 정보연구 33 (5) : 249 ~ 260
[2014]
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Bollerslev, T.
Elsevier : 2959 ~ 3038
[1994]
What do leading indicators lead?
Hamilton, J. D.
Journal of Business : 27 ~ 49
[1996]
Volatility, storage and convenience : Evidence from natural gas markets
Susmel, R.
The Journal of Futures Markets 17 : 17 ~ 43
[1997]
Volatility and cross correlation across major stock markets
Ramchand, L
Journal of Empirical Finance 5 : 397 ~ 416
[1998]
The variation of certain speculative prices
Mandelbrot, B.
Journal of Business 36 : 394 ~ 419
[1963]
The Hamilton model with a general autoregressive component
Lam, P. S.
Journal of Monetary Economics 26 : 409 ~ 432
[1990]
The Behavior of Stock-Market Prices
Fama, E. F.
Journal of Business 38 : 34 ~ 105
[1965]
Testing the term structure of interest rates using a stationary vector autoregression with regime switching
Sola, M
Journal of Economic Dynamics and Control 18 : 601 ~ 628
[1994]
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Chow, G. C.
Econometrica 28 : 591 ~ 605
[1960]
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Hamilton, J. D.
Journal of Applied Econometrics 11 : 573 ~ 593
[1996]
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Review of Financial Studies 1 : 41 ~ 66
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[1997]
Rational-expectations econometric analysis of changes in regimes : An investigation of the term structure of interest rates
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Journal of Economic Dynamics and Control 12 : 385 ~ 423
[1988]
Persistence in variance, structural change and the GARCH model
Lamoureux, C
Journal of Business and Economic Statistics 8 : 225 ~ 244
[1990]
On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks
Glosten L.
Journal of Finance 48 : 1779 ~ 1801
[1993]
Numerical Distribution Functions for Unit Root and Cointegration Tests
MacKinnon
Mackinnon, J. G.
Journal of Applied Econometrics 11 : 601 ~ 618
[1996]
Modelling the conditional distribution of interest rates as a regime-switching process
Gray, S. . F.
Journal of Financial Economics 42 : 27 ~ 62
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Econometric Reviews 5 : 51 ~ 56
[1986]
Measuring business cycles : a modern perspective
Diebold, F. X.
The Review of Economics and Statistics 78 : 67 ~ 77
[1996]
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Hurst, H.
Transactions of the American Society of Civil Engineers 116 : 770 ~ 799
[1951]
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Lo, A. W.
Econometric Theory 7 : 1 ~ 21
[1991]
Long swings in the Dollar: Are they in the data and do markets know it?
Engle, C.
American Economic Review 80 : 689 ~ 713
[1990]
Identifying the turning points and business cycles and forecasting real GNP growth rate in Taiwan
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Taiwan Economic Review 26 : 431 ~ 457
[1998]
How useful are the leading and coincident indexes in Taiwan? An application analysis with bivariate Markov switching models
Lin, J. L.
Empirical Economics
[1998]
Generalized Autoregressive Conditional Heteroskedasticity
Bollerslev, T.
Journal of Econometrics 31 : 307 ~ 327
[1986]
Forecasting the U. S. unemployment rate
Montgomery, A. L.
Journal of American Statistical Association 93 : 478 ~ 493
[1998]
Econometric analysis
Greene, W. H.
Macmillan publishing
[1999]
Conditional heteroskedasticity in asset returns: a new approach
Nelson, D.
Econometrica 59 : 347 ~ 370
[1991]
Can the Markov switching model forecast exchange rates?
Dueker, M. J
Journal of International Economics 36 : 151 ~ 165
[1994]
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
Engle, R. F.
Econometrica 50 : 987 ~ 1007
[1982]
Autoregressive Conditional Heteroskedasticity and Changes in Regime
Hamilton, J. D.
Journal of Econometrics 64 : 307 ~ 333
[1994]
An introduction to long-memory time series models and fractional differencing
Granger, C.W.J
Journal of Time Series Analysis 1 : 15 ~ 29
[1980]
An Analysis of the Real Interest Rate under Regime Shifts
Garcia, R.
The Review of Economics and Statistics 78 : 111 ~ 125
[1996]
ARCH models: properties, estimation and testing
Bianchi, M
Journal of Applied Econometrics 13 : 283 ~ 304
[1998]
ARCH modelling in finance : A review of theory and empirical evidence
Bollerslev, T.
Journal of Econometrics 52 : 5 ~ 59
[1992]
A test for normality of observations and regression residuals
Jarque, C. M
International Stastistical Reviews 55 : 163 ~ 172
[1987]
A new indicator for assess the credibility of the EMS
Gomez-Puig, M.
European Economic Review 41 : 1511 ~ 1535
[1997]
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D.
Econometrica 57 : 357 ~ 384
[1989]
A Markov model of unconditional variance in ARCH
Cai, J.
Journal of Business and Economic Statistics 12 : 309 ~ 316
[1994]
A Markov model of heteroskedasticity, risk, and learning in the stock market
Turner, C. M.
Journal of Financial Economics 25 : 3 ~ 22
[1989]
' 마코브국면전환모형을 이용한 글로벌 주식시장의 변동성에 대한 연구'
의 유사주제(
) 논문