DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 김동규 | - |
dc.contributor.author | Yu, Taeyun | - |
dc.contributor.author | 유태윤 | - |
dc.date.accessioned | 2024-08-08T19:30:33Z | - |
dc.date.available | 2024-08-08T19:30:33Z | - |
dc.date.issued | 2024 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=1097692&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/321864 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영공학부, 2024.2,[ii, 25 p. :] | - |
dc.description.abstract | This paper introduces a dynamic risk model that incorporates both systematic and idiosyncratic structures. We call it the factor and idiosyncratic GARCH-X (FIGARCH-X) model. To get advantages of financial big data, the FIGARCH-X model incorporates a high-dimensional dynamic factor model. To overcome the curse of dimensionality, we introduce a parametric model for each individual stock. Specifically, we apply a GARCH-X structural model that incorporates unexplained systematic risk and integrated volatility of the index as its covariates. For the parameter estimation, we propose a two-step estimation procedure. In the first step, we estimate the latent factor components, and in the second step, we estimate the parameters of the individual stock model. We perform Monte Carlo simulations to validate the FIGARCH-X model and two-step estimation procedure. In the empirical study, we find that the integration of both factor and idiosyncratic structures helps accurately measure individual stock risk. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | 빅데이터▼a시스템 위험▼a개별적 위험▼aGARCH-X▼a분위수 회귀▼a위험가치 | - |
dc.subject | Big data▼aSystematic risk▼aIdiosyncratic risk▼aGARCH-X▼aQuantile regression▼aValue at risk | - |
dc.title | Individual dynamic risk modeling: integrating systematic and idiosyncratic structures with financial big data | - |
dc.title.alternative | 개별 동적 리스크 모델링: 금융 빅데이터를 활용한 시스템 및 개별적 구조 통합 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :경영공학부, | - |
dc.contributor.alternativeauthor | Kim, Donggyu | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.