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SMC 방법을 통한 코스피 지수 변동성의 추정 : Volatility estimation of kospi index via SMC method
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- Authors
- Advisor
- 이재용
- Issue Date
- 2010
- Publisher
- 서울대학교 대학원
- Keywords
- 상태 공간 모형 ; State-space model ; 확률 변동성 모형 ; Stochastic volatility model ; SMC 방법 ; SMC(Sequential Monte Carlo) method ; SIR ; SIR ; APF ; APF ; 코스피 지수 변동성 추정 ; Volatility estimation of KOSPI Index
- Description
- 학위논문(석사) --서울대학교 대학원 :통계학과,2010.2.
- Language
- Korean
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000033057
https://hdl.handle.net/10371/65323
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