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We utilize the mixed exponential power asymmetric GARCH model where each component exhibits asymmetric conditional heteroskedasticity to model Shanghai Stock Exchange Composite Index daily returns. Thanks to extra component-specific shape parameters, it can better capture the tail behavior and match the stylized facts of high frequency financial time series precisely and parsimoniously. The application...
The paper is mainly about the investment by cash flow. According to investment method, the paper divides the investment into four parts: cash outflows from direct investment, cash inflows from direct investment, cash outflows from indirect investment, cash inflows from indirect investment. The paper uses the four indexes as the proxy variable to describe the expanding and shrinking of the cash flow...
On the basis of SVAR model, we analyzed the interaction between the investment behavior of securities investment funds and the volatility rate of return in an emerging stock market by the data in China for the period 2006:11-2008:12. The results showed that, the stock market and the securities investment funds exhibited a significant correlation; And the stock market was largely impulsed by the investment...
Along with the worldwide concern on climate change, the greenhouse gas emission permit has emerged as a new asset with increasing liquidity and its derivatives has been traded more and more frequently on climate exchanges. This paper selects the European Union Allowance (EUA) futures traded on European Climate Exchange (ECX) to represent the emission permit market (carbon market), Shanghai Composite...
Taking the Shanghai stock market A-index returns data as a sample, this paper analyzes the volatility behavior of the Shanghai stock market returns using the threshold autoregressive conditional heteroscedasticity (T-ARCH) model. This paper compares the performance of the autoregressive conditional heteroscedasticity (ARCH) model in different stages based on the threshold theory. This paper finds...
By means of the ARCH (Auto-regressive Conditional Heteroscedasticity) and its modified models, this paper presents an empirical analysis of the volatility heteroscedasticity and the resilience to external shocks for China emerging stock market in the past three years based on the stock index of SSE180, SZSE40, Coal/Petroleum and Finance sectors. The results show that the fluctuation of SSE180 index...
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