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Volatility Jump of Multi-Power and Maximum Outlyingness with Periodicity Filters in China yuan/US dollar Exchange Rates
이재득
2022년
활용도 Analysis
논문 Analysis
연구자 Analysis
활용도 Analysis
논문 Analysis
연구자 Analysis
활용도
공유도
영향력
논문상세정보
저자
이재득
제어번호
108072210
학술지명
무역통상학회지
권호사항
Vol. 22 No. 1 [ 2022 ]
발행처
한국무역통상학회
자료유형
학술저널
수록면
1-29
언어
English
출판년도
2022
등재정보
KCI등재
판매처
주제어
China Yuan
Jump
Periodicity Filter
MaxOutlyingness
US-Dollar
Volatility
참고문헌( 28)
유사주제 논문( 236)
volatility 222건
Jump 8건
us-dollar 3건
Periodicity Filter 2건
maxoutlyingness 1건
인용/피인용
Volatility Jump of Multi-Power and Maximum Out ...
' Volatility Jump of Multi-Power and Maximum Outlyingness with Periodicity Filters in China yuan/US dollar Exchange Rates' 의 주제별 논문영향력
논문영향력 요약
주제
China Yuan
Jump
Periodicity Filter
maxoutlyingness
us-dollar
volatility
동일주제 총논문수
논문피인용 총횟수
주제별 논문영향력의 평균
242
0
0.0%
자세히
주제별 논문영향력
논문영향력
주제
주제별 논문수
주제별 피인용횟수
주제별 논문영향력
주제어
China Yuan
1
0
0.0%
Jump
9
0
0.0%
Periodicity Filter
3
0
0.0%
maxoutlyingness
2
0
0.0%
us-dollar
4
0
0.0%
volatility
223
0
0.0%
계
242
0
0.0%
* 다른 주제어 보유 논문에서 피인용된 횟수
0
닫기
' Volatility Jump of Multi-Power and Maximum Outlyingness with Periodicity Filters in China yuan/US dollar Exchange Rates'
의 참고문헌
파워 변동성과 불연속적인 일중 점프 및 일간 점프의 주기성에 대한 비모수적 추정
이재득
[2014]
Volatility and Z-Type Jumps of Euro Exchange Rates Using Outlying Weighted Quarticity Statistics in the 2010s
이재득
[2019]
Volatility Puzzles : A Simple framework for Gauging Return-Volatility Regressions
Bollerslev, T.
[2006]
The intra-day impact of communication on dollar/eurovolatility and jumps
Dewachter, H.
[2014]
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
Johannes, M. S.
[2004]
The Relative Contribution of Jumps to Total Price Variation
Huang, X.
[2005]
The Impact of Jumps in Volatility and Returns
Eraker, B.
[2003]
The Economic Value of Volatility Timing using Realized Volatility
Fleming, J.
[2003]
The Distribution of Realized Exchange Rate Volatility
Andersen, Torben G.
[2001]
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility: Working Paper
Andersen, Torben G.
[2004]
Roughing it up:including Jump Components in the Measurement, Modelling and Forecasting of Return Volatility
Andersen, Torben G.
[2007]
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, K.
[2011]
Power and Bipower Variation with Stochastic Volatility and Jumps
Barndorff-Nielsen O. E.
[2004]
Outlyingness Weighted Covariation
Boudt, K.
[2011]
Micro Effects of Macro Announcements : Real Time Price Discovery in Foreign Exchange
Andersen, Torben G.
[2003]
Measuring the Impact of Jumps on Multivariate Price Processed Using Bipower Variation
Barndorff-Nielsen O. E.
[2004]
Jumps in Financial Markets : A New Nonparametric Test and Jump Dynamics
Lee, S. S.
[2008]
Jump Risk Premia across Major International Equity Markets
Arouri M.
[2019]
Intraday Effects of the Currency Market
Siroos K.
[2019]
Internationally correlated jumps
Pukthuanthong K.
[2015]
Handbook of Financial Econometrics
Andersen, Torben G.
[2002]
Estimation of Jump Tails
Bollerslev, T.
[2011]
Estimating Stochastic Volatility Diffusion using Conditional Moments of Integrated Volatility
Bollerslev, T.
[2002]
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
Barndorff-Nielsen O. E.
[2006]
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
Eraker, B
[2004]
Alternative Models for Stock Price Dynamics
Chernov, M.
[2003]
A robust scale estimator based on the shortest half
Rousseeuw, P. J.
[1988]
A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations : Jumps and Leverage Effects
Bollerslev., T.
[2009]
' Volatility Jump of Multi-Power and Maximum Outlyingness with Periodicity Filters in China yuan/US dollar Exchange Rates'
의 유사주제(
) 논문