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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.29 no.1, 2016년, pp.1 - 12
Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as "stylized facts" in financial time series context (Terasvirta, 2009). We are accordingly led ...
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핵심어 | 질문 | 논문에서 추출한 답변 |
---|---|---|
VaR란 무엇인가? | Value at Risk(VaR): 자산(포트폴리오) 위험관리에 유용한 개념인 VaR은 ‘주어진 신뢰수준(confidence level)하에서 목표기간(target horizon)동안 정상적인 시장(normal market)을 전제로 할 때 발생 가능한 최대 손실’로 정의된다 (Jorion, 1997; Tsay, 2010, Ch.7; Choi 등, 2009). | |
CCC 모형의 단점은 무엇인가? | CCC 모형은 조건부 상관계수 행렬이 시간에 따라 변하지 않는다는 가정을 통해 추정의 어려움을 극복하였지만 시간에 따른 변화라는 다변량 시계열의 속성을 고려하지 못한 단점이 있다. 시간에 의존하는 조건부 상관계수 행렬을 고려한 CCC 모형의 일반화된 형태가 연구되었는데 이 모형이 dynamic conditional correlation(DCC) 모형이다. | |
integer-valued GARCH 모형의 단점은 무엇인가? | 이 모형은 조건부 분포로 포아송분포를 가정하고 있으므로 평균과 분산이 동일하여 과산포(overdispersion) 문제를 설명하지 못하는 단점이 있으며 이를 보완하기 위해 Zhu (2011)는 조건부 분포로 음이항(negative binomial) 분포를 이용하였다. 최근 계수시계열의 중요한 현상인 영과잉(zero inflation; ZI)을 고려한 영과잉-INGARCH 연구도 활발히 연구되고 있다 (Zhu, 2012; Yoon과 Hwang, 2015a). |
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