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KCI
해밀턴 필터를 이용한 베이지안 마코프-스위칭 ARMA(p,q)-GARCH(r,s) 모형 연구
김현아; 노태영;
최태련
Article
Issue Date
2018
Citation
Journal of The Korean Data Analysis Society, v.20, no.4, pp.1801 - 1817
Publisher
한국자료분석학회
1
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Author
김현아
1
노태영
1
Subject
ARMA(p
1
Hamilton filter
1
KOSPI.
1
Markov chain Monte Carlo
1
Markov-switching model
1
q)-GARCH(r
1
s)
1
마코프 체인 몬테 카를로
1
마코프-스위칭 모형
1
코스피.
1
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