Byungkuk Kim

Economic Research Institute, The Bank of Korea

Economist

110, 3-Ga, Namdaemunno, Jung-Gu

Seoul 100-794

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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국면전환 확산과정모형을 이용한 콜금리행태 분석 (Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model)

Bank of Korea WP 2017-7
Number of pages: 43 Posted: 14 Feb 2017
Seungmoon Choi and Byungkuk Kim
School of Economics, University of Seoul and Economic Research Institute, The Bank of Korea
Downloads 19 (539,958)

Abstract:

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Regime-switching, Diffusion process model, Call rate behaviour, Maximum likelihood estimation, Transition probability density function