منابع مشابه
The Structural Difference of Shanghai Stock Index before and after 2008: A Copula Based Analysis
The year 2008 witnessed the greatest joint stock reform and financial crisis in Chinese history. After these two cases, significant changes have taken place in investors’ behaviors worldwide, along with which is the occurrence of structure change in stock market. In this paper, we employ Copula model to simulate the joint distribution between Shanghai Stock Index (SSE) and Chinese Shanghai Inde...
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Abstract:Accommodating exchange rate factors as exogenous disturbance, this paper proposes a mixed GARCH-Jump model to compares in general the volatility properties of returns series of the Shanghai composite index with those of the Dow Jones index. It also incorporates the asymmetry, clustering and leptokurtosis and fat-tail properties of returns volatility into an integrated analytic frame of...
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The past few years have witnessed a growing rate of attraction in adoption of Artificial Intelligence (AI) techniques and combining them to improve forecasting accuracy in different fields. Besides, stock market forecasting has always been a subject of interest for most investors and professional analysts. Stock market forecasting is a tough problem because of the uncertainties involved in the ...
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ژورنال
عنوان ژورنال: Physics Procedia
سال: 2010
ISSN: 1875-3892
DOI: 10.1016/j.phpro.2010.07.012