Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
Home

About this journal
   Aims and scope

   Editorial board

Submit your article

Archive

Search

Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

KOSPI 200 ̿ ȯ ӽð Ȯ

제30권 제1호, 2019년, 59–95


English Version  | Korean Version
  • ֽ¹  (øб)

PDF
요약  

KOSPI 200 Ϻ ڷḦ ̿ ȯ (regime-switching) ӽð (continuous-time) Ȯ (stochastic volatility) Ѵ. ϱ Heston, GARCH, ׸ CEV Ȯ ٸ $L$ $H$ ִ 6 ȯ Ȯ Ѵ. ع ˰ (Hamilton (1989)) ̿ 쵵 Լ ϰ ֿ ̿Ѵ. 츮 Ȯ Ȯе Լ ϱ⿡ Ait-Sahalia (2008) Choi (2015b) ̿ ٻ̰ ü Ѵ. Ȯ ð ϴ ȯ CEV KOSPI 200 ڷḦ Ѵٴ . $L$ $H$ 麸 ȿ Ǵ. ׸ $L$ $H$ ƿ ־, , $H$ ⿡ 鿡 Ȯ ǰ, Ȯ ٴ ְ ϸ ð Ѵٴ . $H$ Ȯ Ҵ ñ⿡ 質 볻 ѱ ֽ 忡 ִ ġ, ǵ ִ 찡 Ҵ.


핵심어
   KOSPI 200, ӽð Ȯ , ȯ, ֿ

JEL 색인 코드
   C22, C51, C58
Links

KCI list
Korean ES
JETEM at SCOPUS

Powered by MathJax