주식수익률의 비선형적 특성과 정규분포성에 관한 고찰

목차

Ⅰ. 서 론

Ⅱ. 자본시장의 수익률분포에 관한 연구

Ⅲ. 비선형성검정
1. 비선형적 접근법
2. 정규분포성검정
3. 주식수익률 생성과정의 IID검정
4. 비선형성검정
1) RESET검정
2) ARCH LM검정

Ⅳ. R/S분석과 프랙탈분포
1. 분석방법과 의의
2. R/S분석결과
3. 프랙탈분포

Ⅴ. 결 론

본문내용

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키워드

주식수익률의비선형적특성,   자본시장의수익률분포,   비선형적접근법,   주식수익률생성과정의IID검정,   R/S분석과프랙탈분포,   랜덤워크(randomwalk),   수익률의확률분포,   시장에서형성되는가격