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코스피, 회사채 유통수익률 및 원달러 환율의 변동성간의 관련성에 대한 연구

A Study on the Relevance of Volatility in Stock Price, Corporate Bond Yields and Exchange Rate

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참고문헌 (18)

  1. "환율 금리 주가변동의 상호관련성 분석", 4(2), pp.93~122 (1998), 한국은행
  2. "원", 달러환율 변동성의 원인에 관한 연구, 2001, pp.7(1), 92~120[DOI]
  3. "외환위기 전후 금리ㆍ환율ㆍ주가 변동성에 관한 분석", 10(1), pp.54~81 (2004), 한국은행
  4. "Journal of Econometrics 31", pp.307~328 (1986)
  5. "A capital asset pricing model with time varying covariances University of California", pp.116~131 (1985), Unpublished manuscript
  6. "Journal of Financial Economics 18", pp.373~399 (1987)
  7. "An asymmetric model of changing volatility in stock returns Journal of Financial Economics 31", pp.281~318 (1992)
  8. "Linkages Among Asset Markets in the U.S.: Test in a Bivariate GARCH Framework", 50, pp.201~221 (1999)
  9. "Volatility Transmission Between Foreign Exchange and Monetary Markets", pp.1~20 (2000), Bank of Canada
  10. "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation", eco(metrica 50), pp.987~1007 (1982)
  11. "Estimating time varying risk premia in the term structure", eco(metrica 55), pp.391~407 (1987)
  12. "Journal of Financial Economics 5", pp.259~301 (1977)
  13. "Information and Volatility Linkages in the Stock , Bond, and Money Markets", 49, pp.1~23 (1998)
  14. "Journal of Financial Economics 19", pp.3~29 (1987)
  15. "Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", pp.1779~1801 (1993), Columbia University
  16. "On a Measure of Lack of Fit in Time Series Models", pp.265~66 270 (1979)
  17. "Conditional heteroskedasticity in Asset Returns", eco(metrica 59), pp.347~370 (1991)
  18. "Estimating betas from non-synchronous data Journal of Financial Economics 5", pp.309~327 (1977)

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