코스닥시장의 잠재적 요인분석에 관한 연구 = Latent Factor Analysis of KOSDAQ Markets

참고문헌 (Reference)

1 장국현, "한국자본시장의 점프위험과 조건부 이분산성에 관한 연구" 20 : 273-300, 1997

2 장국현, "한국 주식시장의 변동성 다이나믹스와 시간가변적 상관관계에 관한 연구" 18 : 315-340, 1999

3 장국현, "주식시장 동조화와 다운사이드 리스크" 한국재무학회 15 (15): 189-216, 2002

4 장국현, "변동성, 위험프리미엄과 코리아 디스카운트" 한국재무관리학회 22 (22): 165-187, 2005

5 장국현, "다변량 GARCH-M 모형을 이용한 조건부 CAPM의 검증과 시간가변적 상관관계에 관한 연구" 23 : 61-87, 1998

6 김명직, "금융시계열분석" 경문사 2002

7 Kim, M. J, "Volatility and Jump Risk in Korean Financial Markets" 1 : 349-368, 1996

8 Ramchand L, "Volatility and Cross Correlation across Major Stock Markets" 5 : 397-416, 1998

9 Harvey, A., "Unobserved Component Time Series Models with ARCH Disturbances" 52 : 129-157, 1992

10 Diebold, F. X, "The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor ARCH Model" 4 : 1-21, 1989

11 Ball, C. A, "On Jumps in Common Stock Prices and Their Impact on Call Option Pricing" 40 : 155-173, 1985

12 Jorion, P., "On Jump Processes in the Foreign Exchange and Stock Markets" 1 : 427-445, 1989

13 Harvey, A, "Multivariate Stochastic Variance Models" 61 : 247-264, 1994

14 Bollerslev, T, "Modelling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach" 72 : 498-505, 1990

15 Kroner F. K, "Modeling Asymmetric Comovements of Assets Returns" 11 : 817-844, 1998

16 김명직, "KOSPI200 지수의 확률변동성 측정방법" 4 : 131-156, 1996

17 Chang, K. H, "Jumps and Time-Varying Correlations in Daily Foreign Exchange Rates" 20 : 611-637, 2001

18 Bates, D., "Jumps and Stochastic Volatility : Exchange Rate Processes Implicit in PHLX Foreign Currency Options,Working Paper" University of Pennsylvania 1992

19 Bollerslev, T, "Generalized Autoregressive Conditional Heteroskedasticity" 31 : 307-327, 1986

20 Lamaureux, C, "Forecasting Stock-Return Variance : Toward an Understanding of Stochastic Implied Volatilities" 6 : 293-326, 1993

21 Andersen,T., "Exchange Rate Returns Standardized by Realized Volatility are Gaussian. in NBER Working Paper" 2000

22 Bollerslev, T, "Common Persistence in Conditional Variances" 61 : 167-186, 1993

23 Harrison, P. J, "Bayesian Forecasting (with Discussion)" 34 : 1-41, 1976

24 Engle, R. F., "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation" 50 : 987-1007, 1982

25 Kim, M. j., "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing" 29 : 609-631, 1994

26 Bollerslev, T, "ARCH Modeling in Finance : A Review of the Theory and Empirical Evidence" 52 : 5-59, 1992

27 Baillie, R. T, "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets" 9 : 309-324, 1990

28 Bollerslev, T, "A Capital Asset Pricing Model with Time Varying Covariances" 96 : 116-131, 1988

29 김명직, "1997 한국 외환위기의 계량적 특성과 위기경보 가능성" 16 : 203-235, 1998