FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2984847510> ?p ?o ?g. }

• W2984847510 abstract "Abstract In this paper, we use a novel Heterogeneous Autoregressive Model (HAR) with time-varying parameters (TVP) to forecast China’s stock market volatility. Many traditional constant coefficient (CC) HAR-type models, incorporating signed variance, jump and volatility leverage effect, are extended to be TVP models. The empirical results show that the extended TVP HAR-type models can beat those CC HAR-type ones in both in-sample estimation and out-of-sample prediction perspective. Moreover, the TVP HAR model that can describe continuous volatility component, signed jump and leverage effect is superior to other CC or TVP HAR-type models in forecasting the volatilities of China’s stock market." @default.
• W2984847510 created "2019-11-22" @default.
• W2984847510 creator A5005281741 @default.
• W2984847510 creator A5019190057 @default.
• W2984847510 creator A5065417380 @default.
• W2984847510 creator A5079940407 @default.
• W2984847510 creator A5089260589 @default.
• W2984847510 date "2020-03-01" @default.
• W2984847510 modified "2023-10-12" @default.
• W2984847510 title "Forecasting volatility of the Chinese stock markets using TVP HAR-type models" @default.
• W2984847510 cites W2017821362 @default.
• W2984847510 cites W2051235503 @default.
• W2984847510 cites W2057953526 @default.
• W2984847510 cites W2066815740 @default.
• W2984847510 cites W2071602085 @default.
• W2984847510 cites W2074704948 @default.
• W2984847510 cites W2087829439 @default.
• W2984847510 cites W2125142831 @default.
• W2984847510 cites W2131873228 @default.
• W2984847510 cites W2140585983 @default.
• W2984847510 cites W2155804346 @default.
• W2984847510 cites W2158595111 @default.
• W2984847510 cites W2167162925 @default.
• W2984847510 cites W290091234 @default.
• W2984847510 cites W3121442883 @default.
• W2984847510 cites W3123217382 @default.
• W2984847510 cites W3123544567 @default.
• W2984847510 cites W3124336248 @default.
• W2984847510 cites W3124910872 @default.
• W2984847510 cites W3125987794 @default.
• W2984847510 cites W3126010874 @default.
• W2984847510 doi "https://doi.org/10.1016/j.physa.2019.123445" @default.
• W2984847510 hasPublicationYear "2020" @default.
• W2984847510 type Work @default.
• W2984847510 sameAs 2984847510 @default.
• W2984847510 citedByCount "0" @default.
• W2984847510 crossrefType "journal-article" @default.
• W2984847510 hasAuthorship W2984847510A5005281741 @default.
• W2984847510 hasAuthorship W2984847510A5019190057 @default.
• W2984847510 hasAuthorship W2984847510A5065417380 @default.
• W2984847510 hasAuthorship W2984847510A5079940407 @default.
• W2984847510 hasAuthorship W2984847510A5089260589 @default.
• W2984847510 hasConcept C105795698 @default.
• W2984847510 hasConcept C121332964 @default.
• W2984847510 hasConcept C127413603 @default.
• W2984847510 hasConcept C149782125 @default.
• W2984847510 hasConcept C151730666 @default.
• W2984847510 hasConcept C153083717 @default.
• W2984847510 hasConcept C159877910 @default.
• W2984847510 hasConcept C162324750 @default.
• W2984847510 hasConcept C204036174 @default.
• W2984847510 hasConcept C23922673 @default.
• W2984847510 hasConcept C2780299701 @default.
• W2984847510 hasConcept C2780695682 @default.
• W2984847510 hasConcept C2780762169 @default.
• W2984847510 hasConcept C2985497776 @default.
• W2984847510 hasConcept C33923547 @default.
• W2984847510 hasConcept C62520636 @default.
• W2984847510 hasConcept C78519656 @default.
• W2984847510 hasConcept C85393063 @default.
• W2984847510 hasConcept C86803240 @default.
• W2984847510 hasConcept C91602232 @default.
• W2984847510 hasConceptScore W2984847510C105795698 @default.
• W2984847510 hasConceptScore W2984847510C121332964 @default.
• W2984847510 hasConceptScore W2984847510C127413603 @default.
• W2984847510 hasConceptScore W2984847510C149782125 @default.
• W2984847510 hasConceptScore W2984847510C151730666 @default.
• W2984847510 hasConceptScore W2984847510C153083717 @default.
• W2984847510 hasConceptScore W2984847510C159877910 @default.
• W2984847510 hasConceptScore W2984847510C162324750 @default.
• W2984847510 hasConceptScore W2984847510C204036174 @default.
• W2984847510 hasConceptScore W2984847510C23922673 @default.
• W2984847510 hasConceptScore W2984847510C2780299701 @default.
• W2984847510 hasConceptScore W2984847510C2780695682 @default.
• W2984847510 hasConceptScore W2984847510C2780762169 @default.
• W2984847510 hasConceptScore W2984847510C2985497776 @default.
• W2984847510 hasConceptScore W2984847510C33923547 @default.
• W2984847510 hasConceptScore W2984847510C62520636 @default.
• W2984847510 hasConceptScore W2984847510C78519656 @default.
• W2984847510 hasConceptScore W2984847510C85393063 @default.
• W2984847510 hasConceptScore W2984847510C86803240 @default.
• W2984847510 hasConceptScore W2984847510C91602232 @default.
• W2984847510 hasFunder F4320321001 @default.
• W2984847510 hasFunder F4320322685 @default.
• W2984847510 hasLocation W29848475101 @default.
• W2984847510 hasOpenAccess W2984847510 @default.
• W2984847510 hasPrimaryLocation W29848475101 @default.
• W2984847510 hasRelatedWork W10303044 @default.
• W2984847510 hasRelatedWork W11203702 @default.
• W2984847510 hasRelatedWork W115890698 @default.
• W2984847510 hasRelatedWork W127393659 @default.
• W2984847510 hasRelatedWork W19993192 @default.
• W2984847510 hasRelatedWork W40120542 @default.
• W2984847510 hasRelatedWork W53360850 @default.
• W2984847510 hasRelatedWork W83318031 @default.
• W2984847510 hasRelatedWork W8459775 @default.
• W2984847510 hasRelatedWork W880234 @default.
• W2984847510 isParatext "false" @default.
• W2984847510 isRetracted "false" @default.
• W2984847510 magId "2984847510" @default.

• next