Heteroskedastic volatility models in Chinese stock market and their SPA test

被引:0
|
作者
School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China [1 ]
机构
来源
Xitong Gongcheng Lilum yu Shijian | 2007年 / 6卷 / 27-35期
关键词
D O I
暂无
中图分类号
学科分类号
摘要
引用
收藏
相关论文
共 50 条
  • [1] Volatility Analysis for Chinese Stock Market Using GARCH Type Models
    Yin Zehua
    Zhang Lei
    Liu David
    DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 186 - 193
  • [2] An Empirical Study on Chinese Stock Market Using Volatility Forecast Models
    Chen, Guohong
    Wang, Dan
    PROCEEDINGS OF 2009 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE & SYSTEM DYNAMICS, VOL 1, 2009, : 57 - 65
  • [3] Forecasting the volatility of Chinese stock market: An international volatility index
    Lei, Likun
    Zhang, Yaojie
    Wei, Yu
    Zhang, Yi
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 26 (01) : 1336 - 1350
  • [4] Multifractal volatility forecast of Chinese stock market
    Yuan, Ying
    Zhang, Tonghui
    Zhuang, Xintian
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2020, 40 (09): : 2269 - 2281
  • [5] GARCH-type forecasting models for volatility of stock market and MCS test
    Luo, Lingling
    Pairote, Sattayatham
    Chatpatanasiri, Ratthachat
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2017, 46 (07) : 5303 - 5312
  • [6] Empirical Analysis of Chinese Stock Market Volatility Based on GARCH Models and Markov Switching Models
    Zou, Na
    Zhu, Jiahui
    Cai, Yanli
    PROCEEDINGS OF THE 2019 4TH INTERNATIONAL CONFERENCE ON SOCIAL SCIENCES AND ECONOMIC DEVELOPMENT (ICSSED 2019), 2019, 314 : 490 - 497
  • [7] Predictive models for disaggregate stock market volatility
    Chong T.T.-L.
    Lin S.
    Financial Markets and Portfolio Management, 2017, 31 (3) : 261 - 288
  • [8] The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models
    Xiao, Jihong
    Wen, Fenghua
    Zhao, Yupei
    Wang, Xiong
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 74 : 311 - 333
  • [9] Impact of US Uncertainty on Chinese Stock Market Volatility
    Hua, Renhai
    Zhao, Pengfei
    Yu, Honghai
    Fang, Libing
    EMERGING MARKETS FINANCE AND TRADE, 2020, 56 (03) : 576 - 592
  • [10] Volatility patterns of industrial stock price indices in the Chinese stock market
    Lao, Lan-Jun
    ADVANCES IN MACHINE LEARNING AND CYBERNETICS, 2006, 3930 : 605 - 613