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数学与系统科学研究院 [6]
山东大学 [2]
湖南大学 [2]
上海财经大学 [2]
西安交通大学 [1]
北京航空航天大学 [1]
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期刊论文 [18]
会议论文 [1]
发表日期
2018 [19]
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A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China
期刊论文
JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING, 2018, 卷号: 27, 期号: 5, 页码: 613-631
作者:
Xu, Nuo
;
Tang, Xijin
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浏览/下载:38/0
  |  
提交时间:2018/11/16
Societal risk perception
stock market volatility
Baidu Index
Granger causality test
multiple linear regressions
Optimal portfolio choices and the determination of housing rents under housing market uncertainty
期刊论文
JOURNAL OF HOUSING ECONOMICS, 2018, 卷号: 41, 页码: 200-217
作者:
Fan, Gang-Zhi
;
Pu, Ming
;
Deng, Xiaoying
;
Ong, Seow Eng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/08/22
Tenure choice
Resale risk
Reservation rent
Utility maximization
Incomplete markets
Asymmetric volatility spillovers between crude oil and international financial markets
期刊论文
ENERGY ECONOMICS, 2018, 卷号: 74, 页码: 592-604
作者:
Wang, Xunxiao
;
Wu, Chongfeng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/08/22
Volatility spillover
Asymmetry
Oil market
Stock market
VAR
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm
期刊论文
SCIENCE CHINA-INFORMATION SCIENCES, 2018, 卷号: 61, 期号: 4, 页码: 17
作者:
Wang, Ximei
;
He, Xingkang
;
Bao, Ying
;
Zhao, Yanlong
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  |  
浏览/下载:19/0
  |  
提交时间:2018/07/30
Heston model
stochastic volatility model
parameter estimation
normal maximum likelihood estimation
pseudo maximum likelihood estimation
consistent extended Kalman filter
Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index
期刊论文
Energy Economics, 2018, 卷号: 74, 页码: 777-786
作者:
Xiao, Jihong
;
Zhou, Min
;
Wen, Fengming
;
Wen, Fenghua*
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/03
Oil price uncertainty
Chinese stock market
Oil volatility index
Refined oil pricing reform
Quantile regression
Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from China's stock market
期刊论文
FINANCE RESEARCH LETTERS, 2018, 卷号: 25, 页码: 222-229
作者:
Yuan, Ping
;
Rui, Li
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浏览/下载:3/0
  |  
提交时间:2019/11/26
Realized volatility
Truncated two-scale
Forecast
Relationships between Return of Stock Price Index and Interest Rate
会议论文
PROCEEDINGS OF THE 8TH INTERNATIONAL CONFERENCE ON MANAGEMENT AND COMPUTER SCIENCE (ICMCS 2018), 2018-01-01
作者:
Chen, Jiajia[1]
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浏览/下载:9/0
  |  
提交时间:2019/04/22
Stock market volatility
Interest rate
GARCH model
Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?
期刊论文
2018, 卷号: 25, 期号: 11, 页码: 747
作者:
Nie, He[1,2]
;
Jiang, Yonghong[1,2,3]
;
Yang, Baoqing[4]
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/10
Volatility spillovers and hedging: Evidence from Asian oil-importing countries
期刊论文
Resources Policy, 2018
作者:
Sarwar S.
;
Khalfaoui R.
;
Waheed R.
;
Dastgerdi H.G.
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浏览/下载:7/0
  |  
提交时间:2019/12/11
Hedge ratio
Oil prices
Portfolio
Stock market returns
Volatility spillover
The Relationship Between Investor Sentiment and Stock Market Volatility: Based on the VAR Model
期刊论文
SEVENTEENTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, 2018, 页码: 173-180
作者:
Zhang, Ge
;
Wang, Jishun
;
Guo, Hao
;
Zhang, Xin
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/11
big data
machine learning
investor sentiment
VAR model
stock market
volatility
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