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知网期刊论文(639)
在“
Elsevier电子期刊
”中,
命中:
354
条,耗时:小于0.01 秒
在所有数据库中总计命中:
1,343
条
1.
Realized
volatility
forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
作者:
Fengping Tian
a
Author Vitae
;
Ke Yang
b
Author Vitae
;
Langnan Chen
c
;
lnscln@mail.sysu.edu.cn
Author Vitae
关键词:
Realized
volatility
;
Forecast
;
HAR model
;
Time-varying sparsity
;
Agricultural commodity futures
刊名:International Journal of Forecasting
出版年:2017
2.
Forecasting
realized
volatility
: HAR against Principal Components Combining, neural networks and GARCH
作者:
Dimitrios I. Vortelinos
;
dvortelinos@lincoln.ac.uk
关键词:
HAR
;
Principal Components Combining
;
Neural networks
;
GARCH
;
Forecasting
刊名:Research in International Business and Finance
出版年:2017
3.
Marked Hawkes process modeling of price dynamics and
volatility
estimation
作者:
Kyungsub Lee
a
;
1
;
ksublee@yu.ac.kr
;
Byoung Ki Seo
b
;
bkseo@unist.ac.kr
关键词:
Tick price dynamics
;
Marked Hawkes process
;
Volatility
;
Ultra-high-frequency data
;
Impact of mark
刊名:Journal of Empirical Finance
出版年:2017
4.
Oil price uncertainty and Chinese stock returns: New evidence from the oil
volatility
index
作者:
Xingguo Luo
a
;
xingguoluo@gmail.com
;
Shihua Qin
b
关键词:
Chinese stock market
;
Oil price shocks
;
Oil price
volatility
shocks
;
OVX
刊名:Finance Research Letters
出版年:2017
5.
Consistent pricing of VIX and equity derivatives with the 4/2 stochastic
volatility
plus jumps model
作者:
Wei Lin
a
;
weilin1991@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
mathslin@126.com" class="auth_mail" title="E-mail the corresponding author
;
Shenghong Li
a
;
shli@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Xingguo Luo
b
;
xgluo@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Shane Chern
a
;
1
;
shanechern@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
chenxiaohang92@gmail.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Stochastic
volatility
;
4/2 Model
;
VIX derivatives
;
Transform
刊名:Journal of Mathematical Analysis and Applications
出版年:2017
6.
A dynamic component model for forecasting high-dimensional
realized
covariance matrices
作者:
Luc Bauwens
a
;
b
;
Manuela Braione
a
;
Giuseppe Storti
;
c
;
storti@unisa.it
关键词:
Realized
covariance
;
dynamic component models
;
multi-step forecasting
;
iterative algorithm
刊名:Econometrics and Statistics
出版年:2017
7.
Forecasting the
realized
range-based
volatility
using dynamic model averaging approach
作者:
Jing Liu
a
;
Yu Wei
a
;
Feng Ma
a
;
mafeng2016@swjtu.edu.cn
;
M.I.M. Wahab
b
关键词:
C22
;
C52
;
C55
刊名:Economic Modelling
出版年:2017
8.
Volatility
and quantile forecasts by
realized
stochastic
volatility
models with generalized hyperbolic distribution
作者:
Makoto Takahashi
a
;
m-takahashi@econ.osaka-u.ac.jp" class="auth_mail" title="E-mail the corresponding author
Author Vitae
;
Toshiaki Watanabe
b
;
watanabe@ier.hit-u.ac.jp" class="auth_mail" title="E-mail the corresponding author
Author Vitae
;
Yasuhiro Omori
c
;
omori@e.u-tokyo.ac.jp" class="auth_mail" title="E-mail the corresponding author
Author Vitae
关键词:
Backtesting
;
Expected shortfall
;
Generalized hyperbolic skew Student&rsquo
;
s tt-distribution
;
Markov chain Monte Carlo
;
Realized
volatility
;
Stochastic
volatility
;
Value-at-risk
刊名:International Journal of Forecasting
出版年:2016
9.
Intra-day
realized
volatility
for European and USA stock indices
作者:
Stavros Degiannakis
a
;
b
;
stavros.degiannakis@gmail.com" class="auth_mail" title="E-mail the corresponding author
;
Christos Floros
c
关键词:
Correlation of volatilities
;
Intra-day data
;
Realized
volatility
;
Sampling frequency
;
Ultra-high frequency
;
Volatility
signature plot
刊名:Global Finance Journal
出版年:2016
10.
Modeling long memory
volatility
using
realized
measures of
volatility
: A
realized
HAR GARCH model
作者:
Zhuo Huang
a
;
Hao Liu
a
;
Tianyi Wang
b
;
tianyiwang@uibe.edu.cn" class="auth_mail" title="E-mail the corresponding author
关键词:
Realized
GARCH
;
HAR
;
Long memory
;
Realized
kernel
刊名:Economic Modelling
出版年:2016
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