1 |
Nelson, D.(1990), Stationarity and Persistence in the GARCH (1,1) Model, Econometric Theory, 6, 318-334.
DOI
|
2 |
Nelson, D.(1991), Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, 59, 347-370.
DOI
|
3 |
Pagan, A. and G. Schwert(1990), Alternative Models for Common Stock Volatility, Journal of Econometrics, 45, 267-290.
|
4 |
Poon, S.H. and C. Granger(2003), Forecasting Volatility in Financial Markets: A Review, Journal of Economic Literature, 41, 478-539.
DOI
|
5 |
Rapach, D.E. and J.K. Struass(2008), Structural Breaks and GARCH Models of Exchange Rate Volatility, Journal of Applied Econometrics, 23, 65-90.
DOI
|
6 |
Schwert, G.W.(1990), Stock Volatility and the Crash of 87, Review of Financial Studies, 3, 77-102.
DOI
|
7 |
김창범(2010), 환위험과 경기불확실성이 우리나라의 수입물동량에 미치는 영향, 한국항만경제학회지, 제26집 제4호, 88-103.
|
8 |
모수원.이광배(2014), BDI의 변동성 추정: 레버리지 GARCH 모형을 중심으로, 한국항만경제학회지, 제30집 제3호, 1-14.
|
9 |
최병옥.김원태(2007), 참외 주산지와 도매시장 가격의 동태적 인과성 분석, 농촌경제, 제30권 제3호, 69-85.
|
10 |
최봉호(2007), 환율변동성과 컨테이너 물동량과의 관계, 한국항만경제학회지, 제23집 제1호, 1-18.
|
11 |
Bollerslev, T.(1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327.
DOI
|
12 |
Andrew, M. and Meen, G.(2003), House Price Appre ciation, Transaction and Structural Change in the British Housing Market: A Macroeconomic Perspective, Real Estate Economics, 31(1), 99-116.
DOI
|
13 |
Berg, L. and J. Lyhagen(1998), Short and Long-Run Dependency in Swedish Stock Returns, Applied Financial Economics, 18, 435-443.
|
14 |
Black, F.(1976), Studies in Stock Price Volatility Changes, Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, 177-181.
|
15 |
Bollerslev, T., R. Chou, and K. Kroner(1986), ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics, 52, 5-59.
|
16 |
Campbell, J. and L. Hentschel(1992), No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Journal of Financial Economics, 31, 381-318.
DOI
|
17 |
Chou, R.(1988), Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH, Journal of Applied Econometrics, 3, 279-294.
DOI
|
18 |
Christie, A.(1982), The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects, Journal of Financial Economics, 10, 407-432.
DOI
|
19 |
Ederington, L.H. and W. Guan(2005), Forecasting Volatility, Journal of Futures Markets, 25(5), 465-490.
DOI
|
20 |
Engle, R.F.(1993), Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987-1008.
|
21 |
Engle, R.F. and V.K. Ng(1993), Measuring and Testing the Impact of News on Volatility, Journal of Finance, 48, 1749-1778.
DOI
|
22 |
Engle, R.F., Lilien, D.M., and Robinson, R.P.(1987), Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model, Econometrica, 55, 391-407.
DOI
|
23 |
Engle, R.(1984), Wald Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics, in: Z. Grrliches and M.D. Intrigator, eds.: Handbook of Econometrics, 2, North Holland, Amsterdam.
|
24 |
Engle, R., and D. Kraft(1983), Multiperiod Forecast Error Variances of Inflation Estimated from ARCH Models, in A. Zellner, ed.: Applied Time Series Analysis of Economic Data, Bureau of the Census, Washington, D.C., 293-302.
|
25 |
French, K., G.W. Schwert, and R. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.
DOI
|
26 |
Glosten, L., R. Jaganathan, and D. Runkle(1993), On the Relation Between the Expected Value and Volatility of The Nominal Excess Return on Stocks, Journal of Finance, 48, 1779-1801.
DOI
|
27 |
Rivera, G., T-H. Lee, and S. Mishra(2004), Forecasting Volatility: A Reality Check Based on Option Pricing, Utility Function, Value-at-Risk, and Predictive Likelihood, International Journal of Forecasting, 20, 629-645.
DOI
|
28 |
Henry, O.(1998), Modelling the Asymmetry of Stock Market Volatility, Applied Financial Economics, 8, 145-153.
DOI
|
29 |
Hillebrand, E.(2005), Neglecting Parameter Changes in GARCH Models, Journal of Econometrics, 129, 121-138.
DOI
|
30 |
Lin, A.Y.(2006), Has the Asian Crisis Changed the Role of Foreign Investor in Emerging Equity Markets: Taiwan's Experience, International Review of Economics and Finance, 15, 364-382.
DOI
|
31 |
Lopez, J.(2001), Evaluating the Predictive Accuracy of Volatility Models, Journal of Forecasting, 20, 87-109.
DOI
|
32 |
Merton, R.C.(1980), On Estimating the Expected Return on the Market: An Exploratory Investigation, Journal of Financial Economics, 8, 323-361.
DOI
|
33 |
Mikosch, T. and C. Starica(2004), Non-stati onarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects, Review of Economics and Statistics, 86, 378-390.
DOI
|
34 |
Miller, N. and Peng, L.(2004), Exploring Metropolitan Housing Price Volatility, Journal of Real Estate Finance and Economics, 33(1), 5-18.
DOI
|
35 |
Milunovich, G. and S. Thorp(2006), Valuing Volatility Spillovers, Global Finance Journal, 17, 1-22.
DOI
|
36 |
Miyakoshi, T.(2003), Spillovers of Stock Return Volatility to Asian Equity Markets from Japan the US, Journal of International Financial Markets, Institutions and Money, 13, 383-399.
DOI
|
37 |
Mougoue, M. and Aggarwal, R.(2011), Trading Volume and Exchange Rate Volatility: Evidence for the Sequential Arrival of Information Hypothesis, Journal of Banking & Finance, 35(10), 2690-2703.
DOI
|
38 |
Naoui, K., Liouane, N. and Brahim, S.(2010), A Dynamic Conditional Correlation Analysis of Financial Contagion: The Case of the Subprime Credit Crisis, International Journal of Economics and Finance, 2(3), 85-96.
|