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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제12권 제4호
- 발행연도
- 2010.1
- 수록면
- 1,753 - 1,760 (8page)
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초록· 키워드
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In this paper, the constant conditional correlation(Bollerslev, 1990)-multivariate threshold GARCH(Glosten, Jaganathanm and Runkle, 1993) procedure is used to model the relationship between the renovated Korea economies and asymmetry effects after the financial crisis. These is one hypothesis: the insulation effect hypothesis. In terms of short- and long-run domestic shock and foreign shock, volatility of short-run domestic increases by 0.0261, while that of short-run foreign shocks decreases. However, volatility of long-run shock decreases for domestic and foreign shocks, respectively. Therefore, these results indicate that stable Korea economy has better insulation effects for the long-run period.
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참고문헌 (12)
참고문헌 신청
Bera, A. K. / 1993 / ARCH models: properties, estimation and testing / Journal of Economic Survey 7 : 305 ~ 366
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev, T. / 1990 / Modelling the coherence in the short-run nominal exchange rates: A multivariate generalized ARCH model / Review of Economics and Statistics 52 : 5 ~ 5
Diebold, X. / 2004 / Elements of Forecasting.(3rd Ed.) / South-Western Publishing Co.
Engle, R. / 1982 / Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation / Econometrica 50 : 987 ~ 1007
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev, T. / 1990 / Modelling the coherence in the short-run nominal exchange rates: A multivariate generalized ARCH model / Review of Economics and Statistics 52 : 5 ~ 5
Diebold, X. / 2004 / Elements of Forecasting.(3rd Ed.) / South-Western Publishing Co.
Engle, R. / 1982 / Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation / Econometrica 50 : 987 ~ 1007
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