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KCI
Value at Risk의 사후검증을 통한 다변량 시계열자료의 차원축소 방법의 비교: 사례분석
이대수;
송성주
Article
Issue Date
2011
Citation
응용통계연구, v.24, no.4, pp.597 - 607
Publisher
한국통계학회
KCI
NIG분포와 VG분포를 이용한 Value-at-Risk의 추정
김태우;
송성주
Article
Issue Date
2011
Citation
Journal of The Korean Data Analysis Society, v.13, no.4, pp.1775 - 1788
Publisher
한국자료분석학회
1
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김태우
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이대수
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CCC GARCH
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CCCGARCH
1
DCCGARCH
1
dimension reduction.
1
Factor analysis
1
Normal inverse Gaussian distribution
1
normal inverse Gaussian분포
1
time series factor analysis
1
Value at Risk
1
Value-at-Risk.
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