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
  • [21] Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market
    Liu, Shengnan
    Yang, Linshan
    Gu, Rongbao
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 85 : 44 - 58
  • [22] Stock Return Volatility and Trading Volume: Evidence from the Chinese Stock Market
    Wang, Ping
    Wang, Peijie
    Liu, Aying
    JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES, 2005, 3 (01) : 39 - 54
  • [23] Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market
    Gui, Pingshu
    Zhu, Yifeng
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 71 : 484 - 496
  • [24] Testing for nonlinearity in mean and volatility for heteroskedastic models
    Chen, Cathy W. S.
    Gerlach, Richard H.
    Tai, Amanda P. J.
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2008, 79 (03) : 489 - 499
  • [25] Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets
    Lei, Likun
    He, Mengxi
    Zhang, Yi
    Zhang, Yaojie
    JOURNAL OF FORECASTING, 2025, 44 (02) : 547 - 555
  • [26] Political uncertainty, realized volatility, and jumps in the Chinese stock market
    Jiang, Yanhui
    Liu, Liang
    Hong, Yun
    APPLIED ECONOMICS LETTERS, 2021, 28 (06) : 518 - 522
  • [27] The Research on the Stock Price Volatility of Chinese Growth Enterprise Market
    Hui, Hou
    Zhe, Liang
    2011 CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-6, 2011, : 2751 - 2755
  • [28] Volatility spillovers from the Chinese stock market to economic neighbours
    Allen, David E.
    Amram, Ron
    McAleer, Michael
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2013, 94 : 238 - 257
  • [29] Chinese stock market volatility and the role of US economic variables
    Chen, Jian
    Jiang, Fuwei
    Li, Hongyi
    Xu, Weidong
    PACIFIC-BASIN FINANCE JOURNAL, 2016, 39 : 70 - 83
  • [30] Forecasting the realized volatility in the Chinese stock market: further evidence
    Pu, Wang
    Chen, Yixiang
    Ma, Feng
    APPLIED ECONOMICS, 2016, 48 (33) : 3116 - 3130