我国上海股票市场GARCH效应实证研究

[1] A GARCH Model of the Implied Volatility of the Swiss Market Index from Option Prices. Michael Sabbatini,Oliver Linton. International. Journal of Forecasting . 1998

[2] Econometric Analysis. William H Greene. . 1993

[3] ARCH Model and Its Application in Finance System. Ma Chao-qun,Chen Mu-miao. J of Hunan Uni-versity . 1998

[4] A Note on GARCH Predictable Variances and Stock Market Efficiency. Walter SA Schwaiger. Journal of Banking and Finance . 1995

[5] Pricing Hang Seng Index Option Around the Asian Financial Crisis-a GARCH Approach. Duan Jin-chuan,Zhang Hua. Journal of Banking and Finance . 2001

[6] International Foreign Exchange Agreements and Nominal Exchange Rate Volatility: a GARCH Application. In-Bong Kang. The North American Journal of Economics and Finance . 1999

[7] The Inflation and Output Variability Tradeoff: Evidence from a GARCH Model. Jim Lee. Economics Letters . 1999

[1] A GARCH Model of the Implied Volatility of the Swiss Market Index from Option Prices. Michael Sabbatini,Oliver Linton. International. Journal of Forecasting . 1998

[2] Econometric Analysis. William H Greene. . 1993

[3] ARCH Model and Its Application in Finance System. Ma Chao-qun,Chen Mu-miao. J of Hunan Uni-versity . 1998

[4] A Note on GARCH Predictable Variances and Stock Market Efficiency. Walter SA Schwaiger. Journal of Banking and Finance . 1995

[5] Pricing Hang Seng Index Option Around the Asian Financial Crisis-a GARCH Approach. Duan Jin-chuan,Zhang Hua. Journal of Banking and Finance . 2001

[6] International Foreign Exchange Agreements and Nominal Exchange Rate Volatility: a GARCH Application. In-Bong Kang. The North American Journal of Economics and Finance . 1999

[7] The Inflation and Output Variability Tradeoff: Evidence from a GARCH Model. Jim Lee. Economics Letters . 1999