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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets · Study

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ArticleModeling sudden volatility changes: Evidence from Japanese and Korean stock markets

Sang Hoon Kang2009

Article2009

Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets

Sang Hoon Kang · Hwan-Gue Cho · Seong‐Min Yoon

50 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1986Modelling the persistence of conditional variances 1990Persistence in Variance, Structural Change, and the GARCH Model 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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Year2009

Typearticle

Published2009-05-28

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations50

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2009.05.028

openalex_workW2067038792

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