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Stock Return Analysis Based on ARMA (2,2) Model
期刊论文
Lecture Notes on Data Engineering and Communications Technologies, 2022, 卷号: 129, 页码: 213-219
作者:
Yan, Haorui
收藏
  |  
浏览/下载:23/0
  |  
提交时间:2022/06/20
Investments
ARMA (2,2)
Economy security
Investment returns
Logarithmic rates
Rate of return
Research object
Stock returns
Stocks yields
Time-periods
"hushen 300"
Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model
期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 卷号: 72, 页码: 1-15
作者:
Jiang, Yong
;
Wang, Gang-Jin
;
Ma, Chaoqun
;
Yang, Xiaoguang
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  |  
浏览/下载:38/0
  |  
提交时间:2021/04/26
Oil price shocks
Stock returns
Credit regimes
Structure threshold VAR
Nonlinear impulse response functions
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
Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis
期刊论文
Economic Modelling, 2019, 卷号: Vol.80, 页码: 352-382
作者:
Zhongbao Zhou
;
Yong Jiang
;
Yan Liu
;
Ling Lin
;
Qing Liu
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/13
Quantile dependence
Directional predictability
Cross-quantilogram
Oil volatility
Stock returns
BRICS countries
Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis
期刊论文
ECONOMIC MODELLING, 2019, 卷号: Vol.80, 页码: 352-382
作者:
Zhou, ZB
;
Jiang, Y
;
Liu, Y
;
Lin, L
;
Liu, Q
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
Quantile dependence
Directional predictability
Cross-quantilogram
Oil volatility
Stock returns
BRICS countries
Volatility spillovers and hedging: Evidence from Asian oil-importing countries
期刊论文
RESOURCES POLICY, 2019, 卷号: 61, 页码: 479-488
作者:
Sarwar, Suleman
;
Khalfaoui, Rabeh
;
Waheed, Rida
;
Dastgerdi, Hamidreza Ghorbani
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浏览/下载:3/0
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提交时间:2019/12/11
Stock market returns
Oil prices
Volatility spillover
Portfolio
Hedge
ratio
Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis
期刊论文
Economic Modelling, 2019, 卷号: 80, 页码: 352-382
作者:
Zhou, Zhongbao
;
Jiang, Yong
;
Liu, Yan
;
Lin, Ling*
;
Liu, Qing
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
Quantile dependence
Directional predictability
Cross-quantilogram
Oil volatility
Stock returns
BRICS countries
Normal mixture method for stock daily returns over different sub-periods
期刊论文
Communications in Statistics: Simulation and Computation, 2019, 卷号: 48, 期号: 2, 页码: 447-457
作者:
Han, Liyan
;
Yan, Hanhuan*
;
Zheng, Chengli
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  |  
浏览/下载:6/0
  |  
提交时间:2019/12/23
Bull and bear markets
Different components
Normal mixture model
Stock daily returns
Empirical distributions of stock returns: Mixed normal or kernel density?
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 514, 页码: 473-486
作者:
Yan, Hanhuan
;
Han, Liyan
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/30
Stock returns
Normal mixture distribution
Kernel density estimation
Kolmogorov Smirnov statistic
Stock behaviour
Normal mixture method for stock daily returns over different sub-periods
期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2019, 卷号: 48, 页码: 447-457
作者:
Han, Liyan
;
Yan, Hanhuan
;
Zheng, Chengli
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/12/30
Stock daily returns
Bull and bear markets
Normal mixture model
Different components
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