References
- 김우환 (2011). GARCH_ARJI 모형을 활용한 KOSPI 수익률의 변동성에 관한 실증분석, <응용통계연구>, 24, 78-81.
- 박만식, 김나영, 김희영 (2008). 이분산 시계열모형을 이용한 국내주식자료의 군집분석, <한국통계학회논문집>, 15, 925-937. https://doi.org/10.5351/CKSS.2008.15.6.925
- 박유성, 송석헌 (1998). <경영.경제자료분석>, 정일출판사, 서울.
- 홍선영, 최성미, 박진아, 백지선, 황선영 (2009). 지속-변동성을 가진 비대칭 TARCH 모형을 이용한 국내금융시계열 분석, <한국통계학회논문집>, 16, 605-614.
- Albert, J. and Chib, S. (1993). Bayesian inference for autoregressive time series with mean and variance subject to Markov jumps, Journal of Business and Economic Statistics, 11, 1-15. https://doi.org/10.2307/1391303
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
- Chib, S. and Greenberg, E. (1994). Bayesian inference in regression modes with ARMA(p, q) errors, Journal of Econometrics, 64, 183-206. https://doi.org/10.1016/0304-4076(94)90063-9
- Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom in ation, Econometrica, 50, 987-1008. https://doi.org/10.2307/1912773
- Engle, R. F. and Bollerslev, T. (1986). Modeling the persistence of conditional variances, Econometric Reviews, 5, 1-50. https://doi.org/10.1080/07474938608800095
- Engle, R. F., Lillien, D. M. and Robin, R. P. (1987). Estimating time varying risk premia in the term structure: The ARMA-M model, Econometrica, 55, 391-408. https://doi.org/10.2307/1913242
- Gelfand, A. E. and Smith, A. F. M. (1990). Sampling-based approachs to calculating marginal densities, Journal of the American Statistical Association, 85, 398-409. https://doi.org/10.2307/2289776
- Hamilton, J. D. (1994). Time Series Analisis, Princeton University Press, Princeton, New York.
- Hastings, W. K. (1970). Monte Carlo sampling methods using Markov Chains and their applications, Biometrika, 57, 97-109. https://doi.org/10.1093/biomet/57.1.97
- Jacquier, E., Polson, N. G. and Rossi, P. E. (1994). Bayesian analisis of stochastic volatiliy models(with discussion), Journal of Business & Economic Statistics, 12, 371-417. https://doi.org/10.2307/1392199
- Kleibergen, F. and Van Dijk, H. K. (1993). Non-stationarity in GARCH models: A Bayesian analisis, Journal of Applied Econometrics, 8, S41-S61. https://doi.org/10.1002/jae.3950080505
- Metropolis, N., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A. H. and Teller, E. (1953). Equations of state calculations by fast computing machines, Journal of Chemical Physics, 21, 1087-1092. https://doi.org/10.1063/1.1699114
- Muller, P. and Pole, A. (1995). Monte Carlo Posterior Intergration in GARCH Models, Manuscript, Duke University.
- Nakatsuma, T. (2000). Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach, Journal of Econometrics, 95, 57-69. https://doi.org/10.1016/S0304-4076(99)00029-9
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347-370. https://doi.org/10.2307/2938260
- Tierney, L. (1994). Markov Chains for exploring posterior distributions(with discussion), Annals of Statistics, 22, 1701-1762. https://doi.org/10.1214/aos/1176325750
- Tsay, R. S. (2002). Analysis of Financial Time Series, Wiley Series in Probability and Statistics.