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- W2017195242 abstract "본 논문에서는 연속형-GARCH 시계열 자료인 금융 시계열 자료에 대해서 클리핑(clipping)을 통해 얻은 이항(binary) 범주형 시계열을 분석하고 응용하는 방안에 대해 연구하고 있다. 모수추정 방법을 소개하고 있으며 이를 이용하여 이분산 시계열과 연관된 확률을 추정하는 방법을 예시하였다. This short article is concerned with a categorical time series obtained after clipping a heteroscedastic GARCH process. Estimation methods are discussed for the model parameters appearing both in the original process and in the resulting binary time series from a clipping (cf. Zhen and Basawa, 2009). Assuming AR-GARCH model for heteroscedastic time series, three data sets from Korean stock market are analyzed and illustrated with applications to calculating certain probabilities associated with the AR-GARCH process." @default.
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- W2017195242 date "2010-08-31" @default.
- W2017195242 modified "2023-10-18" @default.
- W2017195242 title "An Analysis of Categorical Time Series Driven by Clipping GARCH Processes" @default.
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- W2017195242 doi "https://doi.org/10.5351/kjas.2010.23.4.683" @default.
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