Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process-Reference-Cited by-同舟云学术

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Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process

Published:2021-12-06 Issue: Volume: Page:1-19
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Li Lu¹,Zhuang Weiwei²,Qiu Guoxin³

Affiliation:

1. Postdoctoral Programme, Bank of Communications, Shanghai, China

2. Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, China

3. Department of Business Administration, School of Business, Xinhua University of Anhui, Hefei, China

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2021.2011922

Reference46 articles.

1. The stochastic conditional duration model: a latent variable model for the analysis of financial durations

2. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

3. Asymmetric ACD models: Introducing price information in ACD models

4. A comparison of financial duration models via density forecasts

5. Multivariate GARCH models: a survey

Cited by 1 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. Finite mixture models for multiscale dynamics in Chinese financial markets;Journal of the Operational Research Society;2024-03-19

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