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Social media sentiment, model uncertainty, and volatility forecasting
期刊论文
ECONOMIC MODELLING, 2021, 卷号: 102, 页码: 13
作者:
Lehrer, Steven
;
Xie, Tian
;
Zhang, Xinyu
收藏
  |  
浏览/下载:54/0
  |  
提交时间:2021/10/26
Model averaging
Volatility forecasting
Social media
Big data
Sentiment analysis
The role of news sentiment in oil futures returns and volatility forecasting: Data-decomposition based deep learning approach
期刊论文
ENERGY ECONOMICS, 2021, 卷号: 95, 页码: 11
作者:
Li, Yuze
;
Jiang, Shangrong
;
Li, Xuerong
;
Wang, Shouyang
收藏
  |  
浏览/下载:26/0
  |  
提交时间:2021/04/26
News sentiment
Returns and volatility forecasting
Variational mode decomposition
Deep learning
Stock Market Volatility and Return Analysis: A Systematic Literature Review
期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 18
作者:
Bhowmik, Roni
;
Wang, Shouyang
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  |  
浏览/下载:20/0
  |  
提交时间:2020/09/23
stock returns
volatility
GARCH family model
complexity in market volatility forecasting
Forecasting stock volatility process using improved least square support vector machine approach
期刊论文
Soft Computing, 2019, 卷号: Vol.23 No.22, 页码: 11867-11881
作者:
Xiao-Li Gong
;
Xi-Hua Liu
;
Xiong Xiong
;
Xin-Tian Zhuang
收藏
  |  
浏览/下载:28/0
  |  
提交时间:2019/11/21
Stock volatility forecasting
Leptokurtosis distribution
Artificial neural network
Least square support vector machine
Particle swarm optimization algorithm
Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect
期刊论文
Resources Policy, 2019, 卷号: Vol.61, 页码: 548-563
作者:
Cai Yang
;
Xu Gong
;
Hongwei Zhang
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/13
Volatility forecasting
Investor sentiment
Leverage effect
HAR-type models
Crude oil futures
Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?
期刊论文
International Review of Economics & Finance, 2019, 卷号: Vol.59, 页码: 302-317
作者:
Yue-Jun Zhang
;
Ting Yao
;
Ling-Yun He
;
Ronald Ripple
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  |  
浏览/下载:1/0
  |  
提交时间:2019/12/13
Crude
oil
market
Volatility
forecasting
GARCH
Regime
switching
MCS
Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?
期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2019, 卷号: Vol.59, 页码: 302-317
作者:
Zhang, YJ
;
Yao, T
;
He, LY
;
Ripple, R
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/17
Crude oil market
Volatility forecasting
GARCH
Regime switching
MCS
Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect.
期刊论文
Resources Policy, 2019, 卷号: Vol.61, 页码: 548-563
作者:
Yang, C
;
Gong, X
;
Zhang, HW
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
Crude oil futures
HAR-type models
Investor sentiment
Leverage effect
Volatility forecasting
Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?
期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2019, 卷号: Vol.59, 页码: 302-317
作者:
Zhang, YJ
;
Yao, T
;
He, LY
;
Ripple, R
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/17
Crude oil market
Volatility forecasting
GARCH
Regime switching
MCS
A hybrid short-term traffic flow forecasting model based on time series multifractal characteristics
期刊论文
APPLIED INTELLIGENCE, 2018, 卷号: 48, 期号: 8, 页码: 2429-2440
作者:
Zhang, Hong
;
Wang, Xiaoming
;
Cao, Jie
;
Tang, Minan
;
Guo, Yirong
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2019/11/15
Hybrid model
Traffic flow
Multifractal characteristics
Short-term forecasting
Periodic regression
Volatility analysis
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