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

ȯ ̿ GARCH

제30권 제2호, 2019년, 20–54


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요약  

GARCH(1,1) Ÿ ߰ ο мѴ. ֱ Ұ Chang et al. (2017) ȯ (Endogenous Regime Switching Model) ν, ̹ ð迭 ġ ų ϴ ġ ϴ Ư¡ Ѵ. ̱ ְ , ȯ ְ ͷ Ű Ÿ. ų ϴ 纯(latent factor) ϰ, Adaptive-LASSO ̿Ͽ FRED-MD ͺ̽ Žð  ֽĽ ִ мѴ.


핵심어
   ȯ , , GARCH, Adaptive LASSO

JEL 색인 코드
   C32, C50, G12
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