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- W2375242218 abstract "Based on the continuous - time jump diffusion theory,the paper decomposes the realized rangebased variance into continuous and jump components,constructs the leverage heterogeneous autoregressive model including continuous and jump components as explanatory variables,and empirically studies the jumps and leverage effect of China's stock markets.The results show that China's stock markets have significant jumps, that there is leverage effect in China's stock markets,and that LHAR - RRV - CJ model has better predictive power.It is found that the jumps have a significant and positive impact on China's stock market volatility,especially having greater influence on the short - term volatility and less influence on the long - term volatility.Moreover, leverage effect has a greater impact on the short - term stock market volatility,but not impacting on the long - term volatility." @default.
- W2375242218 created "2016-06-24" @default.
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- W2375242218 date "2012-01-01" @default.
- W2375242218 modified "2023-09-23" @default.
- W2375242218 title "A Study on Jumps and Leverage Effect of China's Stock Markets with Realized Range-based Variance" @default.
- W2375242218 hasPublicationYear "2012" @default.
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