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Under the frame of behavioral finance, this article established a model of perceived risk based on the disposition effect. Simulations indicate the opposite correlation between perceived risk and the disposition effect index. This conclusion is same to the real market perceived risk.
Project Investment of enterprises plays an important role in enterprise's economic growth. Tax policy is an effective means of macro-control. Highly developed market economy pushes enterprises into more intense competition in the market. In order to promote the better development of enterprises, the state has introduced a number of related tax policies. This paper analyses the impact of tax policy...
Multivariate volatility modeling is always a hot topic in academic research. It is difficult to consider how to construct multivariate joint distribution. Copulas, a statistic method, can be used to decompose multivariate joint distribution into marginal distribution and correlation structure. This advantage is applied into calculating the dynamic VaR of a portfolio in the paper. Furthermore, a new...
Based on the summary achievements in the research related to credit evaluation, in this paper, an evaluation on construction-agency on behalf of government is being put into practice, by taking into account the extensive application of construction-agent system and credit crisis problem in domestic market. In order to enable government evaluate construction-agencies' credit, a credit evaluation index...
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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