Yongjin Park

The Bank of Korea

39, Namdaemun-ro, Jung-gu

Seoul , 04531

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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국면전환모형을 이용한 선진국 채권시장간 변동성 행태분석 (Regime Switching Volatility Analysis on International Bond Markets: Evidence from Developed Countries)

Financial Stability Studies, Vol. 6, No. 2, Korea Deposit Insurance Corporation(KDIC), 2005, pp. 49-80.
Number of pages: 32 Posted: 19 Aug 2017 Last Revised: 10 Jan 2019
Yongjin Park and Kyuho Kang
The Bank of Korea and Washington University in St. Louis - Department of Economics
Downloads 26 (492,548)

Abstract:

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주요선진국 채권시장 변동성, Bivariate Markov-Switching GARCH Model, 변동성 파급, 동시확대국면 지속기간, International Bond Market Volatility, Bivariate Markov-Switching GARCH Model, Regime Shifts in Volatility