Modelling Hong Kong stock index by student t-mixture autoregressive model
Refereed conference paper presented and published in conference proceedings


香港中文大学研究人员 ( 现职)

黄镇山教授 (金融学系)

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

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摘要It is well known that most of the financial and economic time series possess several stylized properties which include time-varying means and variances (Granger and Ter svirta, 1993; Franses and van Dijk, 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0; and Tsay, 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/02). Moreover, there is strong evidence that most of the financial return series are not normally distributed. They usually exhibit excess kurtosis which means that there are more probability mass in the tails of the marginal or conditional distribution.

着者Wong CS
会议名称IMACS World Congress/Modelling and Simulation Society-of-Australia-and-New-Zealand (MSSANZ)/18th MODSIMhttp://aims.cuhk.edu.hk/converis/portal/Publication/09 Biennial Conference on Modelling and Simulation
会议开始日13.http://aims.cuhk.edu.hk/converis/portal/Publication/07.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/09
会议完结日17.http://aims.cuhk.edu.hk/converis/portal/Publication/07.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/09
会议地点Cairns
会议国家澳大利亚
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/09
月份1
日期1
出版社UNIV WESTERN AUSTRALIA
页次1566 - 1572
电子国际标準书号978-http://aims.cuhk.edu.hk/converis/portal/Publication/0-97584http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0-7-8
语言英式英语

关键词Hong Kong Hang Seng Index; non-linear time series models
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; Mathematics; Mathematics, Applied; Mathematics, Interdisciplinary Applications; Operations Research & Management Science