1 송유진, "차원축소를 통한 다변량 시계열의 변동성 분석 및 응용" 한국통계학회 15 (15): 825-835, 2008
2 황선영, "사후검증(Back-testing)을 통한 다변량-GARCH 모형의 평가: 사례분석" 한국통계학회 22 (22): 261-270, 2009
3 Gilbert, P. D, "Time Series Factor Analysis with an Application to Measuring Money" University of Groningen 2005
4 Connor, G, "The three type of factor models, A Comparison of their explanatory power" 51 : 42-46, 1995
5 Kupiec, P, "Techniques for verifying the accuracy of risk measurement models" 3 : 73-84, 1995
6 Bauwens, L, "Multivariate GARCH models, A survey" 21 : 79-109, 2006
7 Bollerslev, T, "Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model" 72 : 498-505, 1990
8 김기영, "LISREL(SIMPLIS)를 이용한 구조방정식모형의 분석" 자유아카데미 2001
9 Engle, R. F, "Dynamic conditional correlation: A simple class of multivariate GARCH models" 20 : 339-350, 2002
10 최성미, "DCC 모델링을 이용한 다변량-GARCH 모형의 분석 및 응용" 한국통계학회 22 (22): 995-1005, 2009
1 송유진, "차원축소를 통한 다변량 시계열의 변동성 분석 및 응용" 한국통계학회 15 (15): 825-835, 2008
2 황선영, "사후검증(Back-testing)을 통한 다변량-GARCH 모형의 평가: 사례분석" 한국통계학회 22 (22): 261-270, 2009
3 Gilbert, P. D, "Time Series Factor Analysis with an Application to Measuring Money" University of Groningen 2005
4 Connor, G, "The three type of factor models, A Comparison of their explanatory power" 51 : 42-46, 1995
5 Kupiec, P, "Techniques for verifying the accuracy of risk measurement models" 3 : 73-84, 1995
6 Bauwens, L, "Multivariate GARCH models, A survey" 21 : 79-109, 2006
7 Bollerslev, T, "Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model" 72 : 498-505, 1990
8 김기영, "LISREL(SIMPLIS)를 이용한 구조방정식모형의 분석" 자유아카데미 2001
9 Engle, R. F, "Dynamic conditional correlation: A simple class of multivariate GARCH models" 20 : 339-350, 2002
10 최성미, "DCC 모델링을 이용한 다변량-GARCH 모형의 분석 및 응용" 한국통계학회 22 (22): 995-1005, 2009
11 Christoffersen, P, "Backtesting value-at-risk: A duration-based approach" 2 : 84-108, 2004
12 Tse, Y. K, "A multivariate GARCH model with time-varying correlations" 20 : 351-362, 2002