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| NO | Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date) |
|---|---|
| Forecasting carbon futures volatility using GARCH models with energy volatilities Byun, Suk Joon; Cho, Hangjun, ENERGY ECONOMICS, v.40, pp.207 - 221, 2013-11 | |
| 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 | |
| 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 | |
| 옵션시장에서 GARCH계열 모형들의 성과 비교에 관한 연구 강장구; 류두진, 한국증권학회지, v.38, no.2, pp.137 - 176, 2009-06 | |
| 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 | |
| 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 | |
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 | |
| 확률적 변동성 모형을 이용한 원화 환율 변동성 추정 천도현; 김지훈; 김병천, 통계연구, v.22, no.3, pp.68 - 99, 2017 | |
| 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 |
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