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股票市场波动非对称性的实证研究 被引量:2

An Empirical Research on Stock Market Volatility Asymmetry
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作者 李小为
出处 《中外企业家》 2006年第8期61-63,共3页 Chinese and Foreign Entrepreneurs
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同被引文献17

  • 1周少甫,袁兴兴.我国股票市场波动非对称性的实证研究[J].当代经济管理,2005,27(3):154-158. 被引量:14
  • 2赵景文.上市公司信息披露质量的投资价值分析——基于深圳证券市场的相关数据[J].云南财经大学学报,2007,23(2):34-39. 被引量:2
  • 3Bollerslev, T. Generalized Autoregressive Conditional Heteroskedasticity [ J]. Journal of Econometrics, 1986, (31) :307 -327.
  • 4Campbell, JohnY. and Ludger Hentschel. No news is good News : An symmetric model of changing volatility in stocker Returns [ M ]. Unpublished manuscript, Princeton University, 1990.
  • 5Chiang, ThomasC. and DoongS. C. Empirical Analysis of Stock Returns and Volatility- Evidence from Seven Asian Stock Markets Based on TAR - GARCH Model [ J]. Review of Quantitative Finance and Accounting, 2001, (17) :301 -318.
  • 6Crouhy, Michel and Michael Rockinger. Volatility Clustering Asymmetry and Hysteresis in Stock Returns : International Evidence[ J]. Financial Engineering and the Japanese Markets, 1997, (4) :1 -35.
  • 7Ding, Z., Granger, C. W. J. and Engle, R. F. A long memory property of stock market returns and a new model [ J ]. Journal of Empirical Finance, 1993, (1):83-106.
  • 8Engle, R. F. Autoregressive Conditional heteroskedasticity with estimates of UK inflation[ J]. Econometrica, 1982, (50) :987 - 1008.
  • 9Engle ,R. F. ,and Victor K. Ng. Measuring and testing the impact of news on volatility [ J ]. Journal of Finance,1993, ( 48 ) :1749 - 1778.
  • 10Fama E F. The Behavior of Stock Market Prices [ J ]. Journal of Business,1965. 38.

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