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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:2/0  |  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:6/0  |  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:13/0  |  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:13/0  |  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:4/0  |  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:6/0  |  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:10/0  |  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:6/0  |  Submit date:2020/01/10
Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets 期刊论文
ENVIRONMENTAL RESEARCH, 2017, 卷号: 152, 页码: 351-359
Authors:  Lu, Fengbin;  Qiao, Han;  Wang, Shouyang;  Lai, Kin Keung;  Li, Yuze
Favorite  |  View/Download:5/0  |  Submit date:2018/07/30
Time-varying coefficient VAR  Dynamic lagged correlation  Granger causality  Crude oil  Stock market  
astudyonthevolatilityofthebangladeshstockmarketbasedongarchtypemodels 期刊论文
journalofsystemsscienceandinformation, 2017, 卷号: 000, 期号: 003, 页码: 193
Authors:  Roni Bhowmik;  Wu Chao;  Jewel Roy Kumar;  Wang Shouyang
Favorite  |  View/Download:4/0  |  Submit date:2020/01/10