Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles-Reference-Cited by-同舟云学术

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Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles

Published:2019-04 Issue: Volume:121 Page:129-136
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Gong Xiao-Li,Liu Xi-Hua,Xiong Xiong,Zhuang Xin-Tian

Funder

National Science Foundation of China

China Postdoctoral Science Foundation

Qingdao University

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference35 articles.

1. The dynamic fiscal effects of demographic shift: the case of Australia;Kudrna;Econ Mod,2015

2. Estimating the degree of activity of jumps in high frequency data;Sahalia;Ann Stat,2009

3. Extreme value autoregressive model and its applications;Balakrishna;J Stat Theor Prac,2014

4. Stochastic volatility processes generated by Gumbel extreme value autoregressive model;Balakrishna;J Ind Stat Assoc,2014

5. Stochastic model specification search for time-varying parameter VARs;Eisenstat;Econ Rev,2016

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2. Decision-making model for China’s stock market bubble warning: the CoCoSo with picture fuzzy information;Artificial Intelligence Review;2021-01-27

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