한국 주식시장에서의 Factor-IGARCH를 이용한 VAR모형의 적합성 검증The performance of VAR model based on factor-IGARCH process in the Korean stock market
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 안창모 | - |
| dc.contributor.advisor | Ahn, Chang-Mo | - |
| dc.contributor.author | 김종철 | - |
| dc.contributor.author | Kim, Jong-Chul | - |
| dc.date.accessioned | 2011-12-26T08:36:42Z | - |
| dc.date.available | 2011-12-26T08:36:42Z | - |
| dc.date.issued | 2001 | - |
| dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=166515&flag=dissertation | - |
| dc.identifier.uri | http://hdl.handle.net/10203/52091 | - |
| dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학전공, 2001.2, [ vi, 45 p. ] | - |
| dc.language | kor | - |
| dc.publisher | 한국과학기술원 | - |
| dc.subject | 요인 | - |
| dc.subject | 시장위험 | - |
| dc.subject | 위험관리 | - |
| dc.subject | GARCH | - |
| dc.subject | market risk | - |
| dc.subject | Value at risk | - |
| dc.subject | Factor | - |
| dc.subject | IGARCH | - |
| dc.title | 한국 주식시장에서의 Factor-IGARCH를 이용한 VAR모형의 적합성 검증 | - |
| dc.title.alternative | The performance of VAR model based on factor-IGARCH process in the Korean stock market | - |
| dc.type | Thesis(Master) | - |
| dc.identifier.CNRN | 166515/325007 | - |
| dc.description.department | 한국과학기술원 : 금융공학전공, | - |
| dc.identifier.uid | 000993648 | - |
| dc.contributor.localauthor | 안창모 | - |
| dc.contributor.localauthor | Ahn, Chang-Mo | - |
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