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http://dx.doi.org/10.5351/KJAS.2002.15.2.311

Nonlinear approach to modeling heteroscedasticity in transfer function analysis  

황선영 (숙명여대 통계학과)
김순영 (마켓비전 컨설팅 그룹㈜)
이성덕 (충북대학교 통계학과)
Publication Information
The Korean Journal of Applied Statistics / v.15, no.2, 2002 , pp. 311-321 More about this Journal
Abstract
Transfer function model(TFM) capturings conditional heteroscedastic pattern is introduced to analyze stochastic regression relationship between the two time series. Nonlinear ARCH concept is incorporated into the TFM via threshold ARCH and beta- ARCH models. Steps for statistical analysis of the proposed model are explained along the lines of the Box & Jenkins(1976, ch. 10). For illustration, dynamic analysis between KOSPI and NASDAQ is conducted from which it is seen that threshold ARCH performs the best.
Keywords
CCF; Heteroscedasticity; Nonlinear ARCH; Transfer function; Cross correlation;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
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