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name |
·ù±Ù°ü |
[2004.06.03] HIT:2870
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title |
[´äº¯] AR ¸ðµ¨°ú ARCH ¸ðµ¨ÀÇ Â÷ÀÌ |
¼öÁØ(level)ÀÇ correlationÀ» ¸ðÇüÈÇÒ ¶§´Â ARÀ», º¯µ¿¼º(variation)ÀÇ correlationÀ» ¸ðÇüÈÇÒ ¶§´Â ARCH¸¦ »ç¿ëÇÕ´Ï´Ù. ¿¹ÄÁ´ë ´Ü±â ÀÌÀÚÀ² ¼öÁØÀÌ ³ôÀ» ¶§ ³·¾ÆÁö´Â °æÇâÀÌ ÀÖ°í °Å²Ù·Î Áö³ªÄ¡°Ô ³·À» ¶§ ¿Ã¶ó°¡´Â °æÇâÀÌ ÀÖ´Ù¸é ÀÌ´Â ÀÌÀÚÀ²
¼öÁØ¿¡ ÀÖ¾î¼ÀÇ serial correlationÀ̹ǷΠARÀ» »ç¿ëÇÏ¿© ¸ðÇüÈÇÏ´Â °ÍÀÌ ÀûÀýÇÕ´Ï´Ù. ¹Ý¸é ÁÖ°¡¼öÀÍ·üÀÇ ¼öÁØÀ» ¿¹ÃøÇÒ ¼ö´Â ¾øÀ¸³ª ÁÖ°¡¼öÀÍ·üÀÇ º¯µ¿¼ºÀÌ ½ÉÇÏ¸é ±× ´ÙÀ½ ³¯ÀÇ ÁÖ°¡¼öÀÍ·ü º¯µ¿¼ºµµ µ¢´Þ¾Æ ½ÉÇÑ °æ¿ì (volatility clustering) ARCH ¸ðÇüÀ» »ç¿ëÇÏ¿© ÀÌ·¯ÇÑ volatilityÀÇ serial correlationÀ» ¸ðÇüÈÇÒ ¼ö ÀÖ½À´Ï´Ù.
·ù±Ù°ü ±³¼ö |
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Total 101 articles, 7 pages/ current page is 1 |
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