Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 李外淑 | - |
dc.contributor.author | 陳宣榮 | - |
dc.creator | 陳宣榮 | - |
dc.date.accessioned | 2016-08-25T11:08:12Z | - |
dc.date.available | 2016-08-25T11:08:12Z | - |
dc.date.issued | 2004 | - |
dc.identifier.other | OAK-000000009575 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/171917 | - |
dc.identifier.uri | http://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000009575 | - |
dc.description.abstract | Since the introduction by Engle(1982) of autoregressive conditionally heteroskedastic(ARCH) models and their generalization by Bollerslev(1986), numerous GARCH-type models have been developed and successfully applied in finance and macroeconomics. In this paper, we consider the generalized autoregressive conditionally heteroskedastic(GARCH) type model. And we show a condition for a strict stationarity and β-mixing with exponential decay rates of a GARCH-type model by adopting the generalized polynomial random coefficient vector autoregressive model approach.;Engle이 1982년 ARCH(autoregressive conditionally heteroskedastic) 모형을 소개하고 Bollerslev가 일반화된 ARCH모형을 소개한 이후, 여러종류의 GARCH(generalized autoregressive conditionally heteroskedastic) 형태모형이 소개되었고, 이 모형들은 재정학과 거시 경제학에 적용되어왔다. 이 논문에서는 일반화된 GARCH모형을 소개한다. 그리고 R.C.V (random coefficient vector) 모델 접근법을 적용하여 이 모형의 stationarity와 beta-mixing with exponential decay rates에 관한 조건을 보이겠다. | - |
dc.description.tableofcontents | Contents 1 Introduction = 3 2 Definition and Preliminary Result = 5 3 Main Results and Proofs = 12 4 Examples = 22 References = 25 국문초록 = 27 감사의 글 = 28 | - |
dc.format | application/pdf | - |
dc.format.extent | 341501 bytes | - |
dc.language | eng | - |
dc.publisher | 이화여자대학교 일반대학원 | - |
dc.title | A Study for Augmented GARCH(p, q) Process | - |
dc.type | Master's Thesis | - |
dc.format.page | 28 p. | - |
dc.identifier.thesisdegree | Master | - |
dc.identifier.major | 대학원 통계학과 | - |
dc.date.awarded | 2005. 2 | - |