논문상세정보
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- 저자 이홍재 김태석
- 제어번호 105682630
- 학술지명 글로벌경영학회지
- 권호사항 Vol. 15 No. 5 [ 2018 ]
- 발행처 글로벌경영학회
- 발행처 URL http://www.asgba.org
- 자료유형 학술저널
- 수록면 27-65
- 언어 Korean
- 출판년도 2018
- 등재정보 KCI등재
- 판매처
유사주제 논문( 0)
' GARCH류와 DCC-GARCH 모형을 이용한 VIX와 S&P500의 Leverage 효과 및 비대칭적 변동성 Spillover Effect' 의 참고문헌
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미국VIX 및 S&P500과 한국VIX 및 KOSPI200간의 동태적 영향정제련 [2008]
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Understanding the VIXWhaley, R. E. [2009]
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Time Series AnalysisHamilton J. [1994]
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The VIX Index : Forecasting Power and Perfomance in a Risk Management FrameworkBongiovanni, A. [2016]
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The Time-varying Correlation between Uncertainty, Output, and Inflation : Evidence from a DCC-GARCH modelPaul M, Jones [2012]
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The Multivariate Portmanteau StatisticHosking, J. R. M [1980]
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The Jump Component of S&P 500 Volatility and the VIX IndexBecker, R. [2009]
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The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 IndexChung, S. L. [2010]
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Testing for Unit Roots in Auto-regressive Moving Average Models of Unknown OrderPhillips, P.C.B. [1984]
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Sequential Conditional Correlations : Inference and EvaluationPalandri, A. [2005]
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Relationship between the Expected Value and the Volatility of the Nominal Excess Return on StocksGlosten L. [1993]
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Practical Volatility and Correlation Modeling for Financial Market Risk Management in Risks of Financial InstitutionsAndersen T. [1998]
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On the Non-linear Relationship between VIX and Realized SP500 VolatilityManuel G.R. [2017]
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Multivariate Volatility ModelsTsay, R. S. [2006]
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Multivariate Simultaneous Generalized ARCHEngle, R. F [1995]
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Multivariate GARCH Models: A Survey
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Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch modelBollerslev, T. [1990]
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Modelling the Persistence of Conditional VariancesEngle, R. F. [1986]
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Modeling Multivariate Volatilities via Conditionally Uncorrelated ComponentsFan, J. [2005]
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Linear Time-varying Regression with Copula–DCC–GARCH Models for VolatilityKim J.M. [2016]
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KOSPI 변동성과 설비투자지수의 선도-지연 관계유한수 [2010]
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Intraday Volatility in the Stock Index and Stock IndexChan, K. [1991]
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Information Transmission between U.S. and China Index Futures Markets: An Asymmetric DCC GARCH approachHou Yang [2015]
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Implied Volatilities as Forecasts of Future Volatility, the Market Risk Premia, and Returns VariabilityChernov, M. [2001]
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Generalized Autoregressive Conditional HeteroscedasticityBollerslev, T. [1986]
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Forecasting Volatility in Financial MarketsPoon, S. H. [2003]
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Financial Crisis and Contagion Effects to Indian Stock Market : 'DCC-GARCH' AnalysisChittedi, K. R. [2015]
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsJohansen, S. [1991]
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Estimating Covariance MatricesLitterman R. [1998]
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Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH ModelsEngle, R. F. [2002]
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Does Implied Volatility Provide any Information beyond that Captured in Model-based Volatility Forecasts?Becker, R. [2006]
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Do Sovereign Rating Announcements Affect Emerging Market Exchange Rate Correlations? A Multivariate DCC-GARCH ApproachEraslan, V. [2016]
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Distribution of the estimators for autoregressivetime series with a unit rootDickey, D. A. [1979]
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Conditional Heteroskedasticity in Asset Returns : A New ApproachNelson, B. [1991]
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Co-integration and error correction: representation, estimation, and testingEngle, R.F. [1987]
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Bond Market Integration in East Asia : Multivariate GARCH with Dynamic Conditional Correlations ApproachYoshihiko, T. [2017]
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Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U. K. InflationEngle, R. F [1982]
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Asymptotic Theory for Multivariate GARCH ProcessesComte, F. [2003]
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Are Combination Forecasts of NIFTY 50 Volatility Statistically Superior?Becker, R [2007]
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All in the Family Nesting Symmetric and Asymmetric GARCH ModelsHentschel, Ludger [1995]
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleHamilton, J. D. [1989]
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A Capital-Asset Pricing Model with Time-Varying CovariancesBollerslev, T. [1988]