摘要 : This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that U.S. economic variables such as the dividend price ratio, dividend yield and industrial producti... 展开
作者 | Chen~ Jian Jiang~ Fuwei Li~ Hongyi Xu~ Weidong |
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作者单位 | |
期刊名称 | 《Pacific-Basin Finance Journal》 |
页码/总页数 | 70-83 / 14 |
语种/中图分类号 | 英语 / F8 |
关键词 | Volatility forecasting US. economic variables Out-of-sample forecasting Combination forecast Chinese stock market |
DOI | 10.1016/j.pacfin.2016.05.013 |
馆藏号 | F-502 |