期刊文献+

股指水平值与股指收益率波动性之间关系的研究

下载PDF
导出
摘要 TGARCH模型能较好地描述了股指收益率序列波动的集聚性和非对称性。但是,该模型并没有考虑股指水平值对收益率波动性产生的影响。本文将上证综合指数分成不同的区段,建立虚拟变量并引入到TGARCH模型,以此来对收益率的波动性特征进行实证分析,并研究股指水平值对波动性的影响。
出处 《时代金融》 2011年第5X期144-145,共2页 Times Finance
  • 相关文献

参考文献8

二级参考文献27

  • 1Akgiray,V.Conditional Heteroscedasticity in Time Series of Stock Returns:Evidence and Forecasts[J].Journal of Business, 1989,62:55-80.
  • 2Bollerslev,T.Generalized Autoregressive Conditional Heteroskedasticity[J].Journal of Econometrics,1986,31:307-327.
  • 3Engle,R.F.Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation[J].Econometrica,1982,50:987-1008.
  • 4Engle,R.F.and T.Bollerslev. Modelling the Persistence of Conditional Variances[J].Econometric Reviews,1986,5:1-50.
  • 5Granger,C.W.J.Forecasting Stock Market Prices:Lessons for Forecasters[J].International Journal of Forecasting, 1992,8:3-13.
  • 6Huber,Peter.Robust Statistical Procedures[M].Society for Industrial and Applied Mathematics/Philadelphia,1996,2nd edition.
  • 7Pagan,A.R.and Schwert,G.W.Alternative Models for conditional Stock volatility[J]. Journal of Econometrics,1990,45:267-290.
  • 8Staudte,Robert,and Simon Sheather.Robust Estimation and Testing[M].John Wiley & Sons/NewYork,1990.
  • 9West,Kenneth,and Dogchul Cho.the Predictive A bility of Several Models to Exchange Rate Volatility[J]. Journal of Econometrics,1995,69:367-391.
  • 10Campbell, J.Y., and P.Perron, 1991, Pitfalls and opportunities: What macroeconomists should know about unit roots [J]. NBER Macroeconomics Annual 6, 141 - 201.

共引文献305

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部