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Modelling and testing for market volatility

 

作者: JATIK. SENGUPTA,   RAYMONDE. SFEIR,  

 

期刊: International Journal of Systems Science  (Taylor Available online 1994)
卷期: Volume 25, issue 5  

页码: 881-891

 

ISSN:0020-7721

 

年代: 1994

 

DOI:10.1080/00207729408929005

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Three types of nonlinear models of volatility of market returns based on the conditional variance models and the logistic and cubic versions of chaotic dynamics are critically reviewed here and empirically tested against three types of market indices: value weighted equally weighted and Standard and Poor's return index for the New York Stock Market. Econometric results provide valuable insights into the temporal variations of the conditional variances and skewness of market returns.

 

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