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期刊论文 [6]
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Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
期刊论文
ENERGY ECONOMICS, 2022, 卷号: 117
作者:
Luo, Jiawen
;
Marfatia, Hardik A.
;
Ji, Qiang
;
Klein, Tony
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浏览/下载:0/0
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提交时间:2023/05/30
Futures markets
MHAR-CSV model
Co-volatility
Time-varying volatility connectedness
Asymmetric volatility spillover
Commodity markets
Goodness-of-Fit Test in Multivariate Jump Diffusion Models
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 卷号: 37, 期号: 2, 页码: 275-287
作者:
Zhang, Shulin
;
Zhou, Qian M.
;
Zhu, Dongming
;
Song, Peter X. -K.
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浏览/下载:21/0
  |  
提交时间:2019/08/22
Approximate MLE
In-sample likelihood
Information matrix
Model specification test
Out-of-sample likelihood
Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets
期刊论文
ENVIRONMENTAL RESEARCH, 2017, 卷号: 152, 页码: 351-359
作者:
Lu, Fengbin
;
Qiao, Han
;
Wang, Shouyang
;
Lai, Kin Keung
;
Li, Yuze
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  |  
浏览/下载:28/0
  |  
提交时间:2018/07/30
Time-varying coefficient VAR
Dynamic lagged correlation
Granger causality
Crude oil
Stock market
A unified approach to validating univariate and multivariate conditional distribution models in time series
期刊论文
http://dx.doi.org/10.1016/j.jeconom.2013.08.004, 2014
Chen, Bin
;
Hong, Yongmiao
;
洪永淼
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浏览/下载:3/0
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提交时间:2015/07/22
STOCHASTIC VOLATILITY MODELS
GENERALIZED SPECTRAL TESTS
NUISANCE PARAMETER
INCREASING RISK
BUSINESS-CYCLE
HYPOTHESIS
HETEROSKEDASTICITY
HETEROSCEDASTICITY
DIFFUSIONS
SIMULATION
TESTING FOR THE MARKOV PROPERTY IN TIME SERIES
期刊论文
http://dx.doi.org/10.1017/S0266466611000065, 2012
Chen, Bin
;
Hong, Yongmiao
;
洪永淼
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浏览/下载:4/0
  |  
提交时间:2015/07/22
EMPIRICAL CHARACTERISTIC FUNCTION
TERM INTEREST-RATE
STOCHASTIC VOLATILITY MODELS
PERFECT INDUSTRY DYNAMICS
CENTRAL LIMIT-THEOREMS
NUISANCE PARAMETER
INTEREST-RATES
NONPARAMETRIC SPECIFICATION
CONDITIONAL-INDEPENDENCE
LOCAL BOOTSTRAP
Generalized spectral testing for multivariate continuous-time models
期刊论文
http://dx.doi.org/10.1016/j.jeconom.2011.06.001, 2011
Chen, Bin
;
Hong, Yongmiao
;
洪永淼
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浏览/下载:2/0
  |  
提交时间:2015/07/22
EMPIRICAL CHARACTERISTIC FUNCTION
STOCHASTIC DIFFERENTIAL-EQUATIONS
MAXIMUM-LIKELIHOOD-ESTIMATION
TERM STRUCTURE MODELS
JUMP-DIFFUSIONS
MOMENT CONDITIONS
PRICING-MODELS
INTEREST-RATES
SPECIFICATION
VOLATILITY
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