Analysis and Comparison of ARCH Effects for Shanghai Composite Index and NYSE Composite Index

A New Algorithm to Forecast Shanghai Composite Index ? Qingzhen

In current Chinese Security Market, stock or main index running orbit is a complicated phenomenon. In this paper, proposed a method to forecast Shanghai composite index using time series volume, turnover rate, close price, high price, low price, and open price as parameters. In order to simulate Shanghai composite index’s running orbit we improve a new partial differential equations simulation ...

The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index

This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the G...

The Local Composite Index: A Critical Analysis

Kirchhoff index of composite graphs

Let G 1 + G 2 , G 1 • G 2 and G 1 {G 2 } be the join, corona and cluster of graphs G 1 and G 2 , respectively. In this paper, Kirchhoff index formulae of these composite graphs are given.

Test for single-index composite quantile regression

It is known that composite quantile regression estimator could be much more efficient and sometimes arbitrarily more efficient than the least squares estimator. In this paper, tests for the index parameter and index function in the single-index composite quantile regression are considered. The asymptotic behaviors of the proposed tests are established and their limiting null distributions are d...