Modeling volatility in sector index returns with GARCH models using an iterated algorithm
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02761612.pdf
Reference28 articles.
1. Aggarwal, R, C. Inclan, and R. Leal. 1999. “Volatility in Emerging Markets.”Journal of Financial and Quantitative Analysis 34: 33–55.
2. Atteberry, W.L., and P.E. Swanson. 1997. “Equity Market Integration: The Case of North America.”North American Journal of Economics and Finance 8: 23–37.
3. Andersen, T. G. and T. Bollerslev. 1998. “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.”International Economic Review 39: 885–905.
4. Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroscedasticity.”Journal of Econometrics 31: 307–327.
5. Bollerslev, T., R.Y. Chou, and K.F. Kroner. 1992. “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.”Journal of Econometrics 52: 5–59.
Cited by 20 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Fuzzy Logic-Based Outlier Detection Technique for Supporting Stock Market Trading Decision;Algorithms for Intelligent Systems;2023
2. Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China;Frontiers in Environmental Science;2022-09-26
3. Review on volatility and return analysis including emerging developments: evidence from stock market empirics;Journal of Modelling in Management;2022-04-27
4. Unsupervised Change Point Detection and Trend Prediction for Financial Time-Series Using a New CUSUM-Based Approach;IEEE Access;2022
5. Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices;FIIB Business Review;2020-12
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3