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
  • [31] Inter-industry volatility patterns in Chinese stock market
    Lao, LS
    PROCEEDINGS OF 2005 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-9, 2005, : 3458 - 3462
  • [32] Forecasting volatility in the Chinese stock market under model uncertainty
    Li, Yong
    Huang, Wei-Ping
    Zhang, Jie
    ECONOMIC MODELLING, 2013, 35 : 231 - 234
  • [33] The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
    Wang, Tianyi
    Huang, Zhuo
    ANNALS OF ECONOMICS AND FINANCE, 2012, 13 (01): : 211 - 236
  • [34] International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models
    Wang, Jia
    Wang, Xinyi
    Wang, Xu
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2024, 70
  • [35] Empirical test for bubbles in Chinese stock market
    Liu, Siying
    Gu, Zhihui
    PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008, 2008, : 58 - 61
  • [36] MODELLING VOLATILITY OF MALAYSIAN STOCK MARKET USING GARCH MODELS
    Omar, Nor Alwani Binti
    Halim, Faridah Abdul
    2015 INTERNATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES AND COMPUTING RESEARCH (ISMSC), 2015, : 447 - 452
  • [37] Idiosyncratic volatility, stock market volatility, and expected stock returns
    Guo, H
    Savickas, R
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2006, 24 (01) : 43 - 56
  • [38] Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility
    Hu, Yiwen
    PROCEEDINGS OF THE 2016 INTERNATIONAL FORUM ON MANAGEMENT, EDUCATION AND INFORMATION TECHNOLOGY APPLICATION, 2016, 47 : 344 - 350
  • [39] Volatility of Shanghai stock market: Using ARCH type models
    Zhang, Xiaoyong
    Ma, Chaoqun
    PROCEEDINGS OF THE 2006 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING, 2006, : 686 - 693
  • [40] WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market
    Qin, Peng
    Bai, Manying
    PLOS ONE, 2024, 19 (04):