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Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review 期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 15
Authors:  Yang, Xin;  Zhao, Xian;  Gong, Xu;  Yang, Xiaoguang;  Huang, Chuangxia
Favorite  |  View/Download:5/0  |  Submit date:2020/09/23
financial institution  complex network  jump volatility  entropy weight TOPSIS  
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
Authors:  Bhowmik, Roni;  Wang, Shouyang
Favorite  |  View/Download:5/0  |  Submit date:2020/09/23
stock returns  volatility  GARCH family model  complexity in market volatility forecasting  
Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices 期刊论文
INDUSTRIAL MANAGEMENT & DATA SYSTEMS, 2020, 卷号: 120, 期号: 2, 页码: 350-365
Authors:  Liu, Ying;  Peng, Geng;  Hu, Lanyi;  Dong, Jichang;  Zhang, Qingqing
Favorite  |  View/Download:5/0  |  Submit date:2020/05/24
Stock market  AR-GARCH  Crash incidents  Search volume index  
The return and volatility nexus among stock market and macroeconomic fundamentals for China 期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 526, 页码: 16
Authors:  Abbas, Ghulam;  Bashir, Usman;  Wang, Shouyang;  Zebende, Gilney Figueira;  Ishfaq, Muhammad
Favorite  |  View/Download:9/0  |  Submit date:2020/01/10
Returns  Volatility  Macroeconomic variables  Generalized VAR  China  
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
Authors:  Xu, Nuo;  Tang, Xijin
Favorite  |  View/Download:17/0  |  Submit date:2018/11/16
Societal risk perception  stock market volatility  Baidu Index  Granger causality test  multiple linear regressions  
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
Authors:  Wang, Ximei;  He, Xingkang;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:18/0  |  Submit date:2018/07/30
Heston model  stochastic volatility model  parameter estimation  normal maximum likelihood estimation  pseudo maximum likelihood estimation  consistent extended Kalman filter  
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
Authors:  Xu, Nuo;  Tang, Xijin
Favorite  |  View/Download:7/0  |  Submit date:2019/12/31
returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets 期刊论文
journalofsystemsscienceandinformation, 2018, 卷号: 6, 期号: 2, 页码: 97
Authors:  Roni Bhowmik;  Abbas Ghulam
Favorite  |  View/Download:9/0  |  Submit date:2020/01/10
acausalityanalysisofsocietalriskperceptionandstockmarketvolatilityinchina 期刊论文
journalofsystemsscienceandsystemsengineering, 2018, 卷号: 27, 期号: 5, 页码: 613
Authors:  Xu Nuo;  Tang Xijin
Favorite  |  View/Download:14/0  |  Submit date:2020/01/10
parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm 期刊论文
sciencechinainformationscience, 2018, 卷号: 61, 期号: 4, 页码: 17
Authors:  Wang Ximei;  He Xingkang;  Bao Ying;  Zhao Yanlong
Favorite  |  View/Download:9/0  |  Submit date:2020/01/10