Weather effects on the returns and volatility of the Shanghai stock market
โ Scribed by Sang Hoon Kang; Zhuhua Jiang; Yeonjeong Lee; Seong-Min Yoon
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 527 KB
- Volume
- 389
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We investigate the probability distribution of the volatility return intervals ฯ for the Chinese stock market. We rescale both the probability distribution P q (ฯ ) and the volatility return intervals ฯ as P q (ฯ ) = 1/ฯ f (ฯ /ฯ ) to obtain a uniform scaling curve for different threshold value q. Th
## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili