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Forecasting Volatility of Chinese Stock Market by Using GARCH Models

日期:2018年01月15日 编辑: 作者:无忧论文网 点击次数:2743
论文价格:600元/篇 论文编号:lw201006262054058598 论文字数:9974 所属栏目:国际商务管理论文
论文地区:马来西亚 论文语种:English 论文用途:硕士毕业论文 Master Thesis
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Hans N.E. Bystrom (2004). Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997–1998, The European Journal of Finance 10, 00–00.

Philip Hans Franses, Dick Van Dijk (1996). Forecasting Stock Market Volatility Using (Non-Linear) Garch Models, Journal of Forecasting, Vol. 15: 229-235.

Olivier Ledoit, Pedro Santa-Clara, Michael Wolf (2002).  Flexible Multivariate GARCH Modeling With an Application to International Stock Markets, working paper.

R.Carter Hill, William E. Griffiths, Guay C. Lim (2008). Principles of Econometrics, third edition, 363-37