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Showing results 1 to 13 of 13

1
A geometric treatment of time-varying volatilities

Han, Chulwoo; Park, Frank C.; Kang, Jangkoo, REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.49, no.4, pp.1121 - 1141, 2017-11

2
Essays on the volatility forecasting of financial assets = 금융 자산의 변동성 예측에 관한 연구link

Cho, Hangjun; 조항준; et al, 한국과학기술원, 2015

3
Forecasting carbon futures volatility using GARCH models with energy volatilities

Byun, Suk Joon; Cho, Hangjun, ENERGY ECONOMICS, v.40, pp.207 - 221, 2013-11

4
Forecasting the KOSPI200 spot volatility using various volatility measures

Chun, Dohyun; Cho, Hoon; Ryu, Doojin, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.514, pp.156 - 166, 2019-01

5
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

Noh, Jaesun; Engle, RobertF.; Kane, Alex, REVIEW OF DERIVATIVES RESEARCH, v.1, no.2, pp.139 - 157, 1996-06

6
KOSPI200 현 선물간 최적헤지비율의 추정과 헤지성과 = An empirical study on optimal hedge ratio estimation and hedging effectiveness in kospi200 spot and futureslink

김성은; Kim, Sung-Eun; et al, 한국과학기술원, 2012

7
Next generation models for portfolio risk management: An approach using financial big data

Jung, Kwangmin; Kim, Donggyu; Yu, Seunghyeon, JOURNAL OF RISK AND INSURANCE, v.89, no.3, pp.765 - 787, 2022-09

8
State Heterogeneity Analysis of Financial Volatility using high-frequency Financial Data

Chun, Dohyun; Kim, Donggyu, JOURNAL OF TIME SERIES ANALYSIS, v.43, no.1, pp.105 - 124, 2022-01

9
Statistical Inference for Unified Garch-Ito Models with High-Frequency Financial Data

Kim, Donggyu, JOURNAL OF TIME SERIES ANALYSIS, v.37, no.4, pp.513 - 532, 2016-07

10
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen, JOURNAL OF ECONOMETRICS, v.194, no.2, pp.220 - 230, 2016-10

11
Volatility models for stylized facts of high-frequency financial data

Kim, Donggyu; Shin, Minseok, JOURNAL OF TIME SERIES ANALYSIS, v.44, no.3, pp.262 - 279, 2023-05

12
옵션시장에서 GARCH계열 모형들의 성과 비교에 관한 연구

강장구; 류두진, 한국증권학회지, v.38, no.2, pp.137 - 176, 2009-06

13
확률적 변동성 모형을 이용한 원화 환율 변동성 추정

천도현; 김지훈; 김병천, 통계연구, v.22, no.3, pp.68 - 99, 2017

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