A study on the relation between stock index return and volatility using high frequency data = 고빈도 주가지수의 수익률-변동성 관계에 관한 연구

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Advisors
Lee, Hoe-Kyungresearcher이회경
Description
한국과학기술원 : 경영공학전공,
Publisher
한국과학기술원
Issue Date
2008
Identifier
488124/325007  / 020005251
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학전공, 2008.2, [ vi, 94 p. ]

Keywords

high frequency data; risk-return relation; leverage effect; volatility feedback effect; 수익률-변동성; 고빈도자료; 부채효과; 변동성환류효과; 소파동; wavelet

URI
http://hdl.handle.net/10203/181519
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=488124&flag=dissertation
Appears in Collection
KGSM-Theses_Ph.D.(박사논문)
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