[표지]
연구결과 요약문
목차
1. 연구개발과제의 개요 5
2. 연구수행내용 및 연구결과 6
1. Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model 6
2. Stationary bootstrapping for realized covariations of high frequency financial data 7
3. Estimation of structural mean breaks for long-memory data sets 8
4. Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels 8
5. Stationary bootstrap test for jumps in high-frequency financial asset data 9
6. An integrated heteroscedastic autoregressive model for forecasting realized volatilities 9
7. A CUSUM test for panel mean change detection 10
8. Stationary bootstrapping for structural break tests for a long-memory heterogeneous autoregressive model 10
9. Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity 11
10. A generalized regime-switching integer-valued GARCH(1,1) model and its volatility forecasting 12
11. A dynamic Markov regime-switching GARCH model and its cumulative impulse response function 14
12. Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models 15
3. 연구개발결과의 중요성 16
4. 참고문헌 17
5. 연구성과 18
주관연구책임자 대표적 연구실적 21
붙임1. 대표연구실적 요약문 22
별첨 : 주관연구기관의 자체평가 의견서[내용없음] 4