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雷达卡
总算写完了用GARCH模型预测股市波动性的论文, 这些资料都是我整理出来,自己用过的, 都是英文资料, 希望对大家会有帮助!
有几篇很不错, 特别是可以看看Engle的几篇东西, 这个GARCH之父的东西又老又经典. 还有Bollerslev T. 的那篇. 这些都是GARCH的发源地啊, 看了真是补啊...
还有Poon和Granger在2003年写的那篇也不错, 都是一些对过去十多年里相关文章的总结和收集, 后面附的那张表非常有用
有几个文件上传的时候名变乱码了, 不过我在描述里都写了名字了
可以分开选择一下需要的文章来下载, 也可以直接一次性下那个压缩包
<<Forecasting Stock Market Volatility Using (Non-Liner) GARCH Models>>--作者:Franses and Dijk (1996)
<<Estimating stock market volatility using asymmetric GARCH models>>--作者:Alberg, Shalit and Yosef (2008)
<<Improving GARCH Volatility Forecasts with Regime-Switching GARCH>>--作者:Franc Klaassen(2001)
<<Using the Component GARCH Modeling and Forecasting Method to Determine the Effect of Unexpected Exchange Rate Mean and Volatility Spillover on Stock Markets>>--作者:Ching-Chun Wei
<<Volatility Forcasting in the Hang Seng Index using the GARCH Approach>>--作者:Liu and Morley (2009)
<<Volatility in Emerging Stock Markets>>--作者:Aggarwal, Inclan and Leal (1999)
<<Forecasting China Stock Markets Volatility via GARCH Models Under Skewed-GED Distribution>>--作者:Liu, Lee and Lee (2009)
<<Forecasting Volatility in Financial Markets - A Review>>--作者:Poon and Granger (2003)
<<Are the GARCH models best in out-of-sample performance>>--作者:Lee (1991)
<<Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation>>--作者:Engle (1982)
<<Estimates of the Variance of US Inflation Based upon the ARCH Model>>--作者:Engle(1983)
<<Generalized Autoregressive Conditional Heteroskedasticity>>--作者:Bollerslev T. (1986)
<<Liquidity of the Hong Kong stock market since the Asian financial crisis >>--作者:Wong and Fund (2002)
<<Modelling and Forecasting Volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models>>--作者:Guidi (2010)
<<Modelling the volatility in the Portuguese stock market - A comparative study with German and US markets>>--作者:Curto, Reis and Esperanca
<<The causes of stock market volatility in Australia>>--作者:Kearney and Daly (1998)
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