The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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The Robust Estimation Method for Analyzing the Financial Time Series Data

재무 시계열 자료 분석을 위한 로버스트 추정방법

  • Kim, S. (Dept. of Statistics, Chung-Ang University)
  • Published : 2008.08.31
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Abstract

In this paper, we propose the double robust estimators which are the solutions of the double robust estimating equations to analyze and treat the outliers in the stock market data in Korea including the IMF period. The feasibility study shows that the proposed estimators work quitely better than the least squares estimators and the conventional robust estimators.

본 논문은 재무 시계열 자료에서 흔히 나타나는 이상치를 처리하기 위하여 이중 로버스트 추정함수를 제시하였다. 이중 로버스트 추정 방정식의 해인 로버스트 추정치를 이용하여 ARCH모형과 GARCH 모형 하에서 이상치를 처리하였다. 또한 실제 주가자료를 응용하여 기존의 최소제곱추정치보다 로버스트 추정치나 이중 로버스트 추정치의 성능이 우수함을 보였다.

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References

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