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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
收藏
  |  
浏览/下载:20/0
  |  
提交时间:2020/09/23
stock returns
volatility
GARCH family model
complexity in market volatility forecasting
News implied volatility and long-term foreign exchange market volatility
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2019, 卷号: 61, 页码: 126-142
作者:
Liu, Yang
;
Han, Liyan
;
Yin, Libo
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/30
News implied volatility
Foreign exchange market
Long-term volatility
Incremental effect
GARCH-MIDAS-X model
Nonlinear Least Squares Estimation of Log-ACD Models
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 卷号: 34, 期号: 3, 页码: 516-533
作者:
Chen, Zhao
;
Liu, Wei
;
Wang, Christina Dan
;
Wu, Wu-qing
;
Wu, Yao-hua
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  |  
浏览/下载:18/0
  |  
提交时间:2018/09/08
Log-ACD model
nonlinear least squares estimation
Log-GARCH model
heavy-tail
Estimation of market prices of risks in the GARCH diffusion model
期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
作者:
Wu, Xinyu
;
Zhou, Hailin
;
Wang, Shouyang
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  |  
浏览/下载:20/0
  |  
提交时间:2018/07/30
Market prices of risks
GARCH diffusion model
option pricing
efficient importance sampling
maximum likelihood
particle filter
A novel car-following model considering conditional heteroskedasticity of acceleration fluctuation and driving force
期刊论文
Journal of Intelligent and Fuzzy Systems, 2018, 卷号: 34, 期号: 4, 页码: 2301-2311
作者:
Xiao, Xinping
;
Jiang, Meng
;
Wen, Jianghui*
;
Wu, Chaozhong
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/04
Conditional heteroskedasticity
GARCH model
IDM model
driving force
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
Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models
期刊论文
OPEN MATHEMATICS, 2017, 卷号: 15, 页码: 1539-1548
作者:
Xuan, Haiyan
;
Song, Lixin
;
Amin, Muhammad
;
Shi, Yongxia
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  |  
浏览/下载:32/0
  |  
提交时间:2022/03/01
Asymptotic normality
GARCH model
Laplace (1,1)
Quasi-maximum likelihood estimator
Strong consistency
Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models
期刊论文
OPEN MATHEMATICS, 2017, 卷号: 15, 页码: 1539-1548
作者:
Xuan, Haiyan
;
Song, Lixin
;
Amin, Muhammad
;
Shi, Yongxia
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  |  
浏览/下载:10/0
  |  
提交时间:2019/11/15
Asymptotic normality
GARCH model
Laplace (1,1)
Quasi-maximum likelihood estimator
Strong consistency
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2017, 卷号: 35, 期号: 4, 页码: 528-542
作者:
Zhu, Ke
;
Li, Wai Keung
;
Yu, Philip L. H.
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  |  
浏览/下载:12/0
  |  
提交时间:2018/07/30
Buffered AR-GARCH model
Buffered AR model
Exchange rate
GARCH model
Nonlinear time series
Threshold AR model
Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models
期刊论文
OPEN MATHEMATICS, 2017, 卷号: 15, 页码: 1539-1548
作者:
Xuan, Haiyan
;
Song, Lixin
;
Amin, Muhammad
;
Shi, Yongxia
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/03
Asymptotic normality
GARCH model
Laplace (1,1)
Quasi-maximum likelihood estimator
Strong consistency
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