Prediction of index futures returns and the analysis of financial spillovers—A comparison between GARCH and the grey theorem-Reference-Cited by-同舟云学术

Prediction of index futures returns and the analysis of financial spillovers—A comparison between GARCH and the grey theorem

Published:2008-05 Issue:3 Volume:186 Page:1184-1200
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Kung Ling-Ming,Yu Shang-Wu

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference45 articles.

1. Return and volatility dynamics in the FTSE-100 stock index and stock index futures markets;Abhyankar;Journal of Futures Markets,1995

2. Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain;Abraham;Research in International Business and Finance,2006

3. Estimating and predicting multivariate volatility thresholds in global stock markets;Audrino;Journal of Applied Econometrics,2006

4. The international transmission of arbitrage information across futures markets;Bilson;Journal of Business Finance and Accounting,2005

5. Chang, W.C., Wen, K.L., Chen, H.S., (November 2000). The grey model toolbox: GM(0,N) and GM(1,N). In: 5th national conference on grey theory and application, pp. 115–120.

Cited by 46 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. Forecasting digital economy of China using an Adaptive Lasso and grey model optimized by particle swarm optimization algorithm;Journal of Intelligent & Fuzzy Systems;2023-01-30

2. A Hybrid Model Combining a Gated Recurrent Unit Network Based on Variational Mode Decomposition with Error Correction for Stock Price Prediction;Cybernetics and Systems;2022-11-07

3. On unified framework for continuous-time grey models: An integral matching perspective;Applied Mathematical Modelling;2022-01

4. Development and Performance Analysis of Fireworks Algorithm-Trained Artificial Neural Network (FWANN);Research Anthology on Artificial Neural Network Applications;2022

5. Earned duration management under uncertainty;Soft Computing;2021-05-04