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- This article investigates the asymmetric effects between price returns and volume volatility on the five Asia stock markets, using asymmetric bivariate GARCH model. 摘要本研究以不对称双变量GARCH为实证模型，分析亚洲五个股票市场中股价指数与成交量之间的关联性。
- Bivariate GARCH 双变量GARCH模型
- Posterior odds were all calculated for univariate and bivariate analysis. 将上述因子进行单变项及双变项分析，计算后验风险比。
- Objective: To study a bivariate risk model with variable premium rate. 目的研究一类可变保费的双险种风险模型。
- The daily VaRs of stock returns are computed using GARCH (1,1) model, MA method and RiskMetrics respectively. 分别采用 GARCH( 1 ;1 )模型、Risk Metrics和移动平均法预测上海股市日收益率的波动性 ;计算每天的 va R.
- Stock returns and their volatility are analyzed using the GARCH (1, 1) model with game dummy variables. GARCH(1,1)模型配合球赛虚拟变数被应用来分析股市报酬及其变动性。
- An empirical analysis of the Shenzhen stock market is made by using the GARCH model and the SV model. 摘要文章采用GARCH模型和SV模型对深圳股市进行了实证分析；
- The decompositon and reconstruction formula of Bivariate Three-band Wavelet Tight Frames are also offered. 文中给出了数值例子，还给出了二元3带小波紧框架的分解和重构算法。
- This paper analyses the behaviors of the volatility in the stock Market of Shanghai using GARCH models, and find there is the weekday effect. 摘要利用GARCH模型族，实证分析了上海股票市场的波动特征，发现存在较为明显的周日效应。
- Results: Sample characteristics; Univariate analyses; Bivariate analyses; Multivariate analyses. 结果：样品特性；单变量分析；双变量分析；多变量分析。
- This paper studies the Zhengzhou Commodity Exchange(CZCE) wheat futures for nearly four years,the return rate,and GARCH effect. 本文研究了我国郑州商品交易所(CZCE)小麦期货近四年的收益序列,采用GARCH和EGARCH类模型描述分析了小麦期货收益的波动集群性和杠杆效应。
- The dynamic CAPM with higher moments is investigated through the bivariate GARCHSK-M model. 在二元GARCHSK-M模型的基础上，给出高阶矩动态资本资产定价模型。
- The empirical results show that Fractionally integrated GARCH with GED error model performs the best in estimating five percent VaR. 实证结果表明在估计95%25置信度下的VaR值时基于GED分布的FIGARCH(1,d,1)模型表现最佳。
- Objective To analyze the partial correlation problems by multilevel bivariate models. 目的探讨利用双变量多水平模型分析多重相关中的部分相关问题。
- The generalized autoregressive conditional heteroscedasticity (GARCH) model has the ability to describe the volatility of time series. 广义自回归条件异方差(GARCH)模型具有描述时间序列波动性的能力。
- This paper studies the construction of bivariate three-band wavelet tight frames. 摘要研究二元3带小波紧框架的结构。
- Conclusion Multilevel bivariate models are effective methods in analyzing the partial correlation problems. 结论双变量多水平模型是分析部分相关问题的有力工具。
- Chapter 3 introduce ARCH model originated by Engle,GARCH model,GARCH- M model and asymmetric ARCH model involves TARCH and EARCH. 第三部分介绍了Engle的ARCH模型及以其为基础发展而来的GARCH模型，GARCH-M模型以及非对称的TARCH和EARCH模型。
- GARCH and GARCH-M models imply that the volatility is weakening, and investors who used to be risk preference have become risk aversion. GARCH和GARCH-M模型结论表明股市波动趋缓，投资者由风险偏好转为风险厌恶。
- The depressed and non-depressed subjects were compared using bivariate and regression analyses. 各因子在忧郁与非忧郁个案间进行双变项分析与迴归分析。
