On Chinese stock markets: how have they evolved over time?
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Publication:1621929
DOI10.1007/s10479-017-2602-4zbMath1404.62138OpenAlexW2751352475MaRDI QIDQ1621929
Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2602-4
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
- Generalized autoregressive conditional heteroscedasticity
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quadratic ARCH Models
- Threshold heteroskedastic models
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