지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
This paper concerns the high frequency returns of 15 minute commodity futures prices. The FIGARCH model of Baillie etal. (1996) with the usual normality assumption is found to be inappropriate in representing the high frequency commodity futures returns and the rejection of the normal distribution appears to be due to the jumps which are occurred in the high frequency futures returns. Hence, this paper relies on the FIGARCH model combined with the Bernoulli distribution that allows for the jumps. This paper shows that the FIGARCH-Bernoulli distribution model performs quite well in representing the high frequency commodity returns and that the jumps spuriously increase the long memory persistence in the volatility process of the high frequency commodity futures returns.
목차
등록된 정보가 없습니다.
참고문헌 (27)
참고문헌 신청
Andersen, T.G / / Real-time price discovery in stock, bond and foreign exchange markets
Baillie, R.T / 2007 / Long memory models for daily and high frequency commodity futures prices / Journal of Futures Market 27 : 643 ~ 668
Baillie, R.T / 2007 / Modeling long memory and structural breaks in conditional variances: an Adaptive FIGARCH approach
Baillie, R.T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 74 : 3 ~ 30
Beine, M / 2003 / Central bank interventions and jumps in double long memory models of daily exchange rates / Journal of Empirical Finance 10 : 641 ~ 660
Baillie, R.T / 2007 / Long memory models for daily and high frequency commodity futures prices / Journal of Futures Market 27 : 643 ~ 668
Baillie, R.T / 2007 / Modeling long memory and structural breaks in conditional variances: an Adaptive FIGARCH approach
Baillie, R.T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 74 : 3 ~ 30
Beine, M / 2003 / Central bank interventions and jumps in double long memory models of daily exchange rates / Journal of Empirical Finance 10 : 641 ~ 660
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Potential Sources of the Long Memory Property in the Volatility Process of Daily KRW-USD Exchange Rates : Jumps and Structural Breaks
보험금융연구
2011 .01
-
Long Memory Volatility and Bernoulli Jumps in Daily Crypto Currency Prices
보험금융연구
2019 .01
-
Jumps and Long Memory Volatility Property in Daily Crude Oil Prices : Case of the Dubai Oil
에너지경제연구
2015 .09
-
Poisson Jumps and Long Memory Volatility Process in High Frequency European Exchange Rates
Seoul Journal of Economics
2007 .01
-
Long Memory Value-at-Risk for Longand Short Trading Positionsin the Korean Bond Index
金融工學硏究
2011 .01
-
한국 주식시장의 이원적 장기기억 특성
경제연구
2006 .01
-
Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model
[KIEP] East Asian Economic Review
2011 .06
-
FIGARCH모형을 이용한 주가 수익률 변동성의 장기기억에 관한 연구
선물연구
2002 .01
-
Value-at-Risk Models in Crude Oil Markets
자원·환경경제연구
2007 .01
-
Color Control for the Creation of Commodity Value
마케팅연구
1988 .01
-
Long Memory Volatility and Temporal Aggregation in the High Frequency Data of Australian Stock Market
경제연구
2010 .01
-
환율 변동성 예측 모형의 실증분석
국제경영연구
2003 .01
-
아시아 이머징 주식시장에서의 변동성 장기기억모형 예측력 분석
金融工學硏究
2014 .01
-
디지털 정보상품의 가치와 가격: ‘버전 단위의 가치’는성립가능한가?
사회경제평론
2009 .01
-
Local Superior Commodities, Regional Specializations and Regional Economic Contributions
유통과학연구
2018 .01
-
글로벌 금융위기 전후 상품선물시장간의 상호의존성 연구
대한경영학회지
2012 .04
-
The Role of Exchange Rates in Korea’s Commodity Trade with China
[KIEP] East Asian Economic Review
2010 .12
-
초고빈도 주가지수의 연속적인 파워변동과 이산적 변동성 점프에 대한 비모수적 추정
계량경제학보
2011 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0