A new approach to model financial markets

DOI10.1007/s11424-013-1196-4zbMath1279.91074OpenAlexW2056394377MaRDI QIDQ394485

Shou-Yang Wang, Habin Xie

Publication date: 27 January 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-1196-4

zbMATH Keywords

VARrangeGranger causalityrange decomposition

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items

The role of Japanese candlestick in DVAR model

Cites Work

• Unnamed Item
• Interval time series analysis with an application to the sterling-dollar exchange rate
• Estimating variance from high, low and closing prices
• Forecasting NIKKEI 225 index with support vector machine
• Generalized autoregressive conditional heteroscedasticity
• Crude oil price forecasting with TEI\@I methodology
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods