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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：158/0  |  提交时间：2020/09/23
stock returns  volatility  GARCH family model  complexity in market volatility forecasting  
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
收藏  |  浏览/下载：162/0  |  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
收藏  |  浏览/下载：155/0  |  提交时间：2018/07/30
Market prices of risks  GARCH diffusion model  option pricing  efficient importance sampling  maximum likelihood  particle filter  
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.
收藏  |  浏览/下载：131/0  |  提交时间：2018/07/30
Buffered AR-GARCH model  Buffered AR model  Exchange rate  GARCH model  Nonlinear time series  Threshold AR model  
Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates 期刊论文
SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY, 2001, 卷号: 44, 期号: 2, 页码: 168-183
作者:  Lu, ZD;  Gijbels, I
收藏  |  浏览/下载：109/0  |  提交时间：2018/07/30
ARCH (GARCH) errors  dependent samples  local polynomial fitting  convergence rates  partly linear model  root-n consistency  
A note on the stationarity and the existence of moments of the GARCH model 期刊论文
STATISTICA SINICA, 1998, 卷号: 8, 期号: 2, 页码: 505-510
作者:  Chen, M;  An, HZ
收藏  |  浏览/下载：114/0  |  提交时间：2018/07/30
GARCH model  higher-order moments  nonlinear time series  strict stationarity