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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