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Keywords: Jump-Diffusion GARCH
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (2): 243–264.
Published: 31 May 2015
...://creativecommons.org/licences/by/4.0/legalcode KOSPI200 Intra-day Returns Jump Risk Heteroscedasticity Jump-Diffusion GARCH ...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (1): 73–97.
Published: 28 February 2015
...-family models, Jump-Diffusion GARCH has shown comparatively good results. Especially this study finds that VKOSPI200 is the most efficient model with the largest adj. R2 and the smallest evaluation statistics during the sample period. Meanwhile, it seems to be necessary to consider jump risk when we...
