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Modeling and forecasting realized volatilities of korean financial assets featuring long memory and asymmetry

Title
Modeling and forecasting realized volatilities of korean financial assets featuring long memory and asymmetry
Authors
Park S.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2014
Journal Title
Asia-Pacific Journal of Financial Studies
ISSN
1226-1165JCR Link
Citation
vol. 43, no. 1, pp. 31 - 58
Indexed
SCOPUS WOS scopus
Abstract
Asymmetric volatility; High frequency data; Implied volatility; Long memory; Volatility forecasting; Volatility spillover
DOI
10.1111/ajfs.12039
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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