中国股票市场波动非对称性的实证研究

[1] 中国股市的ARCH效应分析 [J]. 世界经济, 2001, (03) : 29 - 36

[2] 股票市场风险、收益与市场效率:——ARMA-ARCH-M模型 [J]. 世界经济, 2000, (05) : 19 - 28

[3] 中国股市微观行为理论与实证[M]. 上海远东出版社 , 施东晖著, 2001

[4] 中国股票市场实证统计分析[M]. 中国财政经济出版社 , 钟蓉萨, 1999

[5] Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model[J] . Thomas C. Chiang,Shuh-Chyi Doong.Review of Quantitative Finance and Accounting . 2001 (3)

[6] Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence[J] . MICHEL CROUHY,MICHAEL ROCKINGER.Asia-Pacific Financial Markets . 1997 (1)

[1] 中国股市的ARCH效应分析 [J]. 世界经济, 2001, (03) : 29 - 36

[2] 股票市场风险、收益与市场效率:——ARMA-ARCH-M模型 [J]. 世界经济, 2000, (05) : 19 - 28

[3] 中国股市微观行为理论与实证[M]. 上海远东出版社 , 施东晖著, 2001

[4] 中国股票市场实证统计分析[M]. 中国财政经济出版社 , 钟蓉萨, 1999

[5] Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model[J] . Thomas C. Chiang,Shuh-Chyi Doong.Review of Quantitative Finance and Accounting . 2001 (3)

[6] Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence[J] . MICHEL CROUHY,MICHAEL ROCKINGER.Asia-Pacific Financial Markets . 1997 (1)