연구동향 분석

중국 주식시장에서 변동성 전이효과와 위험 최소화 포트폴리오

초흠흠(XinXin Jiao) 강주화 ( Zhuhua Jiang ) 윤성민 ( Seong Min Yoon ) 2015년

논문상세정보
인용/피인용
' 중국 주식시장에서 변동성 전이효과와 위험 최소화 포트폴리오' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • icssalgorithm
  • icss알고리즘
  • portfolio
  • risk
  • sudden changes
  • var-garch-bekk model
  • var-garch-bekk 모형
  • 급변
  • 위험
  • 포트폴리오
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
716 0

0.0%

' 중국 주식시장에서 변동성 전이효과와 위험 최소화 포트폴리오' 의 참고문헌

  • 중국 주식시장의 제도개혁이 시장효율성에 미친 영향
    강주화 동북아경제연구 24 (2) : 221 ~ 248 [2012]
  • 중국 주식시장 수익률과 변동성의 장기기억 특성과 동시적 집계문제
    강주화 유라시아연구 12 (2) : 45 ~ 71 [2015]
  • 상해 주식시장에서 한국 주식시장으로의 변동성 전이효과:GARCH계열 모형을 활용한 분석
    정대진 아태연구 20 (2) : 221 ~ 253 [2013]
  • 글로벌 금융위기 전후 중국 주식시장의 효율성 변화
    강주화 산업경제연구 28 (3) : 955 ~ 984 [2015]
  • 香港红筹股，H股与内地股市的协整关系和引导关系研究
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    陈国进 数量经济技术经济研究 12 : 109 ~ 119 [2009]
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    王璐 数理统计与管理 28 (1) : 152 ~ 158 [2009]
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    Ewing, B.T. International Review of Economics & Finance 25 : 113 ~ 121 [2013]
  • Volatility Spillover Effect between Chinese and Korean Stock Markets
    강상훈 金融工學硏究 10 (1) : 161 ~ 177 [2011]
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    The Risk Minimizing Portfolios in Chinese Stock Market
    Jiao, Xin-xin Pusan National University [2015]
  • The Impact of Sudden Changes on Volatility Persistence and Information Transmission in Chinese Stock Markets
    강상훈 경제연구 31 (1) : 177 ~ 199 [2013]
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    Poshakwale, S.S. Global Finance Journal 19 (2) : 187 ~ 201 [2008]
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  • Structural Changes and Volatility Transmission in Crude Oil Markets
    Kang, S. H. Physica A 390 (23) : 4317 ~ 4324 [2011]
  • Structural Breaks, Dynamic Correlations, Asymmetric Volatility Transmission, and Hedging Strategies for Petroleum Prices and USD Exchange Rate
    Mensi, W. Energy Economics 48 : 46 ~ 60 [2015]
  • Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets
    Malik, F. International Review of Economics & Finance 16 (3) : 357 ~ 368 [2007]
  • Return and Volatility Transmission Between Oil Prices and Emerging Asian Markets
    강상훈 Seoul Journal of Business 19 (2) : 74 ~ 93 [2013]
  • Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets
    Chen, Z. Emerging Markets Finance and Trade 46 (6) : 140 ~ 157 [2010]
  • Re-examining the Asymmetric Predictability of Conditional Variances: The Role of Sudden Changes in Variance
    Ewing, B.T. Journal of Banking & Finance 29 (10) : 2655 ~ 2673 [2005]
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    Baba, Y. Department of Economics, University of California [1990]
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    Hassan, S.A. Quarterly Review of Economics and Finance 47 (3) : 470 ~ 480 [2007]
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    Kang, S. H. Physica A 388 (17) : 3543 ~ 3550 [2009]
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    Kroner, K.F. Review of Financial Studies 11 (4) : 817 ~ 844 [1998]
  • Measuring Volatility Persistence in the Presence of Sudden Changes in the Variance of Canadian Stock Returns
    Malik, F. Canadian Journal of Economics 38 (3) : 1037 ~ 1056 [2005]
  • Impact of Sudden Changes on Volatility Persistence and Asymmetry in Chinese Stock Markets
    Yoon, S.-M. Journal of the Korean Data Analysis Society 14 (6A) : 2877 ~ 2887 [2012]
  • Generalized Autoregressive Conditional Heteroskedasticity
    Bollerslev, T. Journal of Econometrics 31 (3) : 307 ~ 327 [1986]
  • Forecasting Volatility in Financial Markets: A Review
    Poon, S.-H. Journal of Economic Literature 41 (2) : 478 ~ 539 [2003]
  • Estimation and Inference in Two-Step Econometric Models
    Murphy, K.M. Journal of Business & Economic Statistics 3 (4) : 370 ~ 379 [1985]
  • Estimating Volatility Persistence in Oil Prices Under Structural Breaks
    Ewing, B.T. Financial Review 45 (4) : 1011 ~ 1023 [2010]
  • Dynamic Relationship between Exchange Rate and Stock Price: Evidence from China
    Zhao, H. Research in International Business and Finance 24 (2) : 103 ~ 112 [2010]
  • Common Influences, Spillover and Integration in Chinese Stock Markets
    Weber, E. Journal of Empirical Finance 19 (3) : 382 ~ 394 [2012]
  • Asymmetry in Return and Volatility Spillover between Equity and Bond Markets in Australia
    Dean, W. G. Pacific-Basin Finance Journal 18 (3) : 272 ~ 289 [2010]
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    Karolyi, G. A. Journal of Business & Economic Statistics 13 (1) : 11 ~ 25 [1995]