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2 이정형, "한국선물시장의 수익률과 변동성에 대한 장기기억 특성" 한국자료분석학회 6 (6): 1063-1072, 2004
3 박범조, "점프요소와 금융시장의 변동성" 한국자료분석학회 11 (11): 3265-3279, 2009
4 강상훈, "선물거래가 주식시장 변동성의 크기 및 비대칭성에 미치는 영향" 한국자료분석학회 10 (10): 1629-1643, 2008
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1 이정형, "한국주식시장의 확률적 변동성에 대한 장기기억 특성" 한국자료분석학회 11 (11): 1979-1990, 2009
2 이정형, "한국선물시장의 수익률과 변동성에 대한 장기기억 특성" 한국자료분석학회 6 (6): 1063-1072, 2004
3 박범조, "점프요소와 금융시장의 변동성" 한국자료분석학회 11 (11): 3265-3279, 2009
4 강상훈, "선물거래가 주식시장 변동성의 크기 및 비대칭성에 미치는 영향" 한국자료분석학회 10 (10): 1629-1643, 2008
5 Aggarwal, R., "Volatility in Emerging Stock Markets" 34 (34): 33-55, 1999
6 Inclán, C., "Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance" 89 (89): 913-923, 1994
7 Christie, A. A., "The Stochastic Behaviour of Stock Variances: Value, Leverage and Interest Rate Effects" 10 (10): 407-432, 1982
8 Wang, P., "Sudden Changes in Volatility: The Case of Five Central European Stock Markets" 19 (19): 33-46, 2009
9 Hammoudeh, S., "Sudden Changes in Volatility in Emerging Markets: The Case of Gulf Arab Stock Markets" 17 (17): 47-63, 2008
10 Black, F., "Studies in Stock Price Volatility Changes" American Statistical Association 177-181, 1976
11 Lamoureux, C. G., "Persistence in Variance, Structural Change, and the GARCH Model" 8 (8): 225-234, 1990
12 Glosten, L., "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks" 48 (48): 1779-1801, 1993
13 Kumar, D., "Modelling Asymmetry and Persistence under the Impact of Sudden Changes in the Volatility of the Indian Stock Market" 24 : 123-136, 2012
14 Kang, S. H., "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets" ELSEVIER SCIENCE BV 388 (388): 3543-3550, 2009
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16 Malik, F., "Measuring Volatility Persistence in the Presence of Sudden Changes in the Variance of Canadian Stock Returns" 38 (38): 1037-1056, 2005
17 Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity" 31 (31): 307-327, 1986
18 강상훈, "Forecasting Volatility of Korean Futures Market" 한국자료분석학회 11 (11): 2357-2366, 2009
19 Poon, S. H., "Forecasting Volatility in Financial Markets: A Review" 41 (41): 478-539, 2003
20 Lastrapes, W. D., "Exchange Rate Volatility and U.S. Monetary policy: An ARCH Application" 21 (21): 66-77, 1989
21 Nelson, D. B., "Conditional Heteroskedasticity in Asset Returns : A New Approach" 59 (59): 347-370, 1991
22 Bollerslev, T., "Common Persistence in Conditional Variances" 61 (61): 167-186, 1993
23 Engle, R. F., "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation" 50 (50): 987-1007, 1982
24 Bollerslev, T., "ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence" 52 (52): 5-59, 1992
25 정재헌, "AR-APARCH 모형을 이용한 VaR 사후검정 분석: 비대칭적이고 꼬리가 두터운 분포도를 중심으로" 한국자료분석학회 12 (12): 3375-3386, 2010