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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
Authors:  Jiang, Yong;  Wang, Gang-Jin;  Ma, Chaoqun;  Yang, Xiaoguang
Favorite  |  View/Download:55/0  |  Submit date:2021/04/26
Oil price shocks  Stock returns  Credit regimes  Structure threshold VAR  Nonlinear impulse response functions  
Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model 期刊论文
SUSTAINABILITY, 2018, 卷号: 10, 期号: 12, 页码: 17
Authors:  Jiang, Yong;  Ma, Chao-Qun;  Yang, Xiao-Guang;  Ren, Yi-Shuai
Favorite  |  View/Download:78/0  |  Submit date:2019/03/05
crude oil  natural gas  petroleum product  structural breaks  time-varying volatility feedback  TVP-SVM model  
股指期货基差的非线性特征和均值回复机制研究 期刊论文
中国科学技术大学学报, 2013, 卷号: 43, 期号: 12, 页码: 989
Authors:  蒋勇;  吴武清;  叶五一;  陈敏;  缪柏其
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波动率度量模型的评价方法拟合优度和平滑性 期刊论文
系统工程学报, 2013, 卷号: 28, 期号: 2, 页码: 194
Authors:  吴武清;  蒋勇;  缪柏其;  陈敏
Favorite  |  View/Download:74/0  |  Submit date:2020/01/10