Estimation of stochastic volatility models: An empirical study of China's stock market

被引：0
|
作者：
Wu, Xin-Yu [1 ]
Ma, Chao-Qun [2 ]
Wang, Shou-Yang [3 ]
机构：
[1] School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China
[2] School of Business Administration, Hunan University, Changsha 410082, China
[3] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2014年 / 34卷 / 01期
关键词：
Stochastic systems;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：35 / 44
相关论文
共 50 条
  • [11] An Empirical Study on the Margin Trading's Impacts on the Volatility of China A-share Stock Market -From Weighted Stock's Data
    Wang, Shina
    Zhou, Yan
    2017 14TH INTERNATIONAL CONFERENCE ON SERVICES SYSTEMS AND SERVICES MANAGEMENT (ICSSSM), 2017,
  • [12] Market-based estimation of stochastic volatility models
    Ait-Sahalia, Yacine
    Amengual, Dante
    Manresa, Elena
    JOURNAL OF ECONOMETRICS, 2015, 187 (02) : 418 - 435
  • [13] Study on Realized Volatility and its application in China's stock market
    Guo, Mingyuan
    Zhang, Shiying
    ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 222 - 227
  • [14] A Study of Short Selling's Influence on Stock Market Volatility in China
    Xu, Zhiyong
    Gu, Wenhu
    ADVANCES IN ASIA-PACIFIC LOW CARBON ECONOMY, 2010, : 379 - 382
  • [15] An Empirical Study of China's Stock Market Feedback Trading
    Zhang Yanliang
    Wang Dongdong
    AFFECTIVE COMPUTING AND INTELLIGENT INTERACTION, 2012, 137 : 179 - 184
  • [16] Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market
    Naik, Nagaraj
    Mohan, Biju R.
    MATHEMATICS, 2021, 9 (14)
  • [17] STOCK RETURNS AND VOLATILITY - AN EMPIRICAL-STUDY OF THE UK STOCK-MARKET
    POON, SH
    TAYLOR, SJ
    JOURNAL OF BANKING & FINANCE, 1992, 16 (01) : 37 - 59
  • [18] Model averaging estimation for conditional volatility models with an application to stock market volatility forecast
    Liu, Qingfeng
    Yao, Qingsong
    Zhao, Guoqing
    JOURNAL OF FORECASTING, 2020, 39 (05) : 841 - 863
  • [19] Empirical Study on Volatility of Shanghai Stock Market with GARCH Model
    Wan Zhen-zhen
    Yan Guang-le
    PROCEEDINGS OF 2009 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE & SYSTEM DYNAMICS, VOL 7, 2009, : 139 - 142
  • [20] Empirical Study on Characteristics of Stock Market Volatility in China Based on E-GARCH Model
    Huang, Wenjuan
    2017 2ND INTERNATIONAL CONFERENCE ON EDUCATION RESEARCH AND REFORM (ERR 2017), VOL 1, 2017, 19 : 104 - 107
12345