کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
976317 | 933108 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986–2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is generally associated with global financial and political events. We have also demonstrated that controlling sudden changes effectively reduces the persistence of volatility or long memory and that incorporating information regarding sudden changes in variance improves the accuracy of estimating volatility dynamics and forecasting future volatility for researchers and investors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 17, 1 September 2009, Pages 3543–3550
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 17, 1 September 2009, Pages 3543–3550
نویسندگان
Sang Hoon Kang, Hwan-Gue Cho, Seong-Min Yoon,