不同分布的garch族模型的波羅的海干散貨運(yùn)價(jià)指數(shù)波動(dòng)率-資料下載頁
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【正文】 率時(shí)，t 分布更能反映BDI指數(shù)收益率序列的尖峰厚尾性, 更能準(zhǔn)確的描述國際干散貨航運(yùn)市場(chǎng)的波動(dòng)性。參考書目[1] CHEN, , The Empirical Evidence of the Leverage Effect on Volatility in International Bulk Shipping Market[J], Maritime Policy and Management, 2004, vol 31,109124[2] HAIGH M. S. and , Volatility Spillovers between Foreign Exchange, Commodity and Freight Futures Prices: Implications for Hedging Strategies[D], Faculty Paper, Department of Agricultural Economics, Texas Aamp。M University, [3] KAVUSSANOS, ., and , OvertheCounter Forward Contracts and Spot Price Volatility in Shipping[J],Transportation Research Part E,2004,vol 40,273296[4] Engle, R. F, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations[J],Econometrica, 1982,vol 50,9871007[5] Bollerslev,T, Generalized Autoregressive Conditional Heteroscedasticity[J], Journal of Econometrics, 1986, vol 52, 559[6] Nelson, , Conditional Heteroscedasticity in Asset Returns: A New Approach[J], Econometrica,1991,vol 59,6165[7] Golsten, .,Jagannathan,R. and Runkle, , On the Relation between the Expected Value and the Volatility of Nominal Excess Return on Stocks[J], Journal of Finance, 1993,vol 48,17791801[8] Zakoian, , Threshold Heteroscedastic Models[J], Journal of Econometric Dynamics and Control,1994,vol 18931955[9] Engle, R. F., David Lilien, and Russel R, Estimating Time Varying Risk Premia in the Term Structure: The ARCHM Model[J],Econometrica,1987,vol 49,391407 [9] Ruey , Financial Times Series Analysis[M], John Wiley amp。Sons, Inc., 2005[10]宮進(jìn)，國際干散貨運(yùn)價(jià)風(fēng)險(xiǎn)相關(guān)問題的實(shí)證研究[D]，上海海運(yùn)學(xué)院碩士學(xué)位論文，2001[11]李序穎, 中國出口集裝箱運(yùn)價(jià)指數(shù)與波羅的海干散貨指數(shù)的實(shí)證分析[J]，數(shù)理統(tǒng)計(jì)與管理，2005年7月，24卷增刊，314317[12]李耀鼎，宗蓓華，波羅的海運(yùn)價(jià)指數(shù)波動(dòng)研究[J]， 上海海事大學(xué)學(xué)報(bào)，2006年12月，27卷第4期，8487[13]孫永，中國出口集裝箱運(yùn)價(jià)指數(shù)與波羅的海運(yùn)價(jià)指數(shù)的比較分析[D]，上海海事大學(xué)碩士學(xué)位論文，2005[14]劉曉，李益民，GARCH族模型在股市中的應(yīng)用－深圳成分指數(shù)波動(dòng)性研究[J]，技術(shù)經(jīng)濟(jì)與管理研究 2005年5月，3638[15]易丹輝主編，數(shù)據(jù)分析與EVIEWS的應(yīng)用[M]，中國統(tǒng)計(jì)出版社，200211 /
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