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写完GARCH模型预测股市波动性论文以后, 分享自己学习过的资料
atoutou007
15113 47
2010-08-17
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)
附件列表

abbr_23f864f541d03f2a9d23083971537583.pdf

大小:495.5 KB

 马上下载

Forecasting Stock Market Volatility Using (Non-Liner) GARCH Models

Estimating stock market volatility using asymmetric GARCH models.pdf

大小:457.03 KB

 马上下载

Estimating stock market volatility using asymmetric GARCH models

Improving GARCH Volatility Forecasts with Regime-Switching GARCH.pdf

大小:578.14 KB

 马上下载

Improving GARCH Volatility Forecasts with Regime-Switching GARCH

abbr_8986e8274cf47dac31f1255de5382986.pdf

大小:217.79 KB

 马上下载

Using the Component GARCH Modeling and Forecasting Method to Determine the Effect of Unexpected Exch

abbr_27e4a471f168ecd87d14e0f268623e10.pdf

大小:155.15 KB

 马上下载

Volatility Forcasting in the Hang Seng Index using the GARCH Approach

Volatility in Emerging Stock Markets - Aggarwal, Inclan and Leal (1999).pdf

大小:400.92 KB

 马上下载

Volatility in Emerging Stock Markets

abbr_09d6e461b7ce031a3af99a0f4925c280.pdf

大小:149.68 KB

 马上下载

Forecasting China Stock Markets Volatility via GARCH Models Under Skewed-GED Distribution

Are the GARCH models best in out-of-sample performance - Lee (1991).pdf

大小:221.18 KB

 马上下载

Are the GARCH models best in out-of-sample performance

abbr_5cad8c7e969e9885b5c04841b3a6fbec.pdf

大小:473 KB

 马上下载

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Infla

Estimates of the Variance of US Inflation Based upon the ARCH Model - Engle (1983).pdf

大小:332.45 KB

 马上下载

Estimates of the Variance of US Inflation Based upon the ARCH Model

Generalized Autoregressive Conditional Heteroskedasticity - Bollerslev T. (1986).pdf

大小:771.94 KB

 马上下载

Generalized Autoregressive Conditional Heteroskedasticity

Forecasting Volatility in Financial Markets - A Review - Poon and Granger (2003).pdf

大小:577.32 KB

 马上下载

Forecasting Volatility in Financial Markets - A Review

abbr_528e9833b46662f493cdce7d1fd6c244.pdf

大小:831.35 KB

 马上下载

Modelling and Forecasting Volatility of East Asian Newly Industrialized Countries and Japan stock ma

abbr_ead2518c6f07b379f999659e71b1a0da.pdf

大小:570.68 KB

 马上下载

Modelling the volatility in the Portuguese stock market - A comparative study with German and US mar

abbr_a93245d7d7ad2332d8caf5402944bc1d.pdf

大小:712.98 KB

 马上下载

Liquidity of the Hong Kong stock market since the Asian financial crisis

The causes of stock market volatility in Australia - Kearney and Daly (1998).pdf

大小:229.33 KB

 马上下载

The causes of stock market volatility in Australia

Forecaste stock market volatility by GARCH models.rar

大小:5.7 MB

只需: 2 个论坛币  马上下载

Modelling and Forecasting Volatility of East Asian Newly Industrialized Countries and Japan stock ma

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野狐禅
2010-8-17 00:37:10
有你自己写的那篇吗？
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atoutou007
2010-8-17 00:40:10
2# 野狐禅 哈哈 没有啊 我自己写的哪敢拿出来现啊...
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fin9845cl
2010-8-17 11:34:34
收藏了.....谢谢分享
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听海无声
2010-8-17 12:37:21
收了！以后用！谢了兄弟！
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naoe_takaya
2010-8-17 21:23:33
谢谢分享了~
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