金融危机下原油价格冲击与金融市场波动及其联动复杂性–基于多分形机制转换波动率模型和藤copula方法的研究

71371157
2013
G0107.管理系统工程
魏宇
面上项目
教授
西南交通大学
58万元
复杂性;金融市场波动;藤copula;多分形;油价冲击
2014-01-01到2017-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 欧债危机环境中资产组合ES模型比较研究 期刊论文 于文华;魏宇;淳伟德
2 Financial market volatility and contagion effect: A copula-multifractal volatility approach 期刊论文 Chen Wang;Wei Yu;Lang Qiaoqi;Lin Yu;Liu Maojuan
3 Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price 期刊论文 Zhuang Xiaoyang;Wei Yu;Ma Feng
4 中国股票市场适应性特征的实证研究 期刊论文 李云红;魏宇;吴晓雄
5 基于R-vine copula的原油市场极端风险动态测度研究 期刊论文 杨坤;于文华;魏宇
6 危机传染背景下多元资产组合风险模型测度效果研究 期刊论文 于文华;魏宇;淳伟德
7 Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis 期刊论文 Tao Qizhi;Wei Yu;Liu Jiapeng;Zhang Ting
8 交易不活跃影响了国债期货的价格发现吗?——来自中国国债市场的经验证据 期刊论文 郭彦峰;魏宇;肖倬
9 Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula 期刊论文 Yu Wenhua;Yang Kun;Wei Yu;Lei Likun
10 基于符号收益和跳跃变差的高频波动率模型 期刊论文 马锋;魏宇;黄登仕
11 基于不同跳跃检验下的高频波动率模型预测 期刊论文 徐伟举;马锋;魏宇
12 Forecasting the realized volatility in the Chinese stock market: further evidence 期刊论文 Pu Wang;Chen Yixiang;Ma Feng
13 Multifractal detrended cross-correlation analysis of carbon and crude oil markets 期刊论文 Zhuang Xiaoyang;Wei Yu;Zhang Bangzheng
14 Can economic policy uncertainty help to forecast the volatility: A multifractal perspective 期刊论文 Liu Zhicao;Ye Yong;Ma Feng;Liu Jing
15 Forecasting the realized range-based volatility using dynamic model averaging approach 期刊论文 Liu Jing;Wei Yu;Ma Feng;Wahab M. I. M.
16 Hot money and China’s stock market volatility: Further evidence using the GARCH-MIDAS model 期刊论文 Wei Yu;Yu Qianwen;Liu Jing;Cao Yang
17 Forecasting the volatility of crude oil futures using high-frequency data: further evidence 期刊论文 Ma Feng;Wei Yu;Chen Wang;He Feng
18 Forecasting the oil futures price volatility: A new approach 期刊论文 Ma Feng;Liu Jing;Huang Dengshi;Chen Wang
19 Forecasting house prices using dynamic model averaging approach: Evidence from China 期刊论文 Wei Yu;Cao Yang
20 基于EVT-Vine-copula的多市场相关性及投资组合选择研究 期刊论文 张帮正;魏宇;余江;李云红
21 多分形波动率预测模型及其MCS检验 期刊论文 魏宇;马锋;黄登仕
22 How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China 期刊论文 Wen Xiaoqian;Guo Yanfeng;Wei Yu;Huang Dengshi
23 Forecasting realized volatility in a changing world: A dynamic model averaging approach 期刊论文 Wang Yudong;Ma Feng;Wei Yu;Wu Chongfeng
24 基于马尔科夫状态转换和跳跃的高频波动率模型预测 期刊论文 马锋;魏宇;黄登仕;夏泽安
25 Forecasting VaR and ES of stock index portfolio: A Vine copula method 期刊论文 Zhang Bangzheng;Wei Yu;Yu Jiang;Lai Xiaodong;Peng Zhenfeng
26 基于R_Vine Copula方法的上证行业指数相关性研究 期刊论文 张帮正;魏宇
27 隔夜收益率能提高高频波动率模型的预测能力吗? 期刊论文 马锋;魏宇;黄登仕;庄晓洋
28 基于vine copula方法的股市组合动态VaR测度及预测模型研究 期刊论文 马锋;魏宇;黄登仕
29 Forecasting the VaR of crude oil market: Do alternative distributions help? 期刊论文 Lyu Yongjian;Wang Peng;Wei Yu;Ke Rui
30 Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets 期刊论文 Ma Feng;Zhang Qian;Chen Peng;Wei Yu
31 Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty? 期刊论文 Wei Yu;Liu Jing;Lai xiaodong;Hu Yang
32 资产组合风险模型测度精度—基于危机传染背景下的比较研究 专著 于文华;魏宇
33 不同时变Copula-EVT-ES模型精度比较研究 期刊论文 于文华;魏宇;康明惠
34 Forecasting excess stock returns with crude oil market data 期刊论文 Liu Li;Ma Feng;Wang Yudong
35 Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility 期刊论文 Ma Feng;Wei Yu;Huang Dengshi;Chen Yixiang
36 Forecasting realized range volatility: a regime-switching approach 期刊论文 Ma Feng;Liu Li;Liu Zhichao;Wei Yu
37 Quantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis 期刊论文 Chen Wang;Wei Yu;Zhang Bangzheng;Yu Jiang
38 Forecasting the realized volatility: the role of jumps 期刊论文 Liu Zhichao;Ma Feng;Wang Xunxiao;Xia Zean
39 股票市场历史信息的长记忆性特征研究 期刊论文 李云红;魏宇;张帮正
40 Understanding the determinants of funders' investment intentions on crowdfunding platforms A trust-based perspective 期刊论文 Kang Minghui;Gao Yiwen;Wang Tao;Zheng Haichao
41 风险厌恶在股指期货避险中的应用研究 期刊论文 李云红;魏宇;陈王
42 High and low or close to close prices? Evidence from the multifractal volatility 期刊论文 Liu Zhichao;Ma Feng;Long Yujia
43 Forecasting stock market volatility: Do realized skewness and kurtosis help? 期刊论文 Mei Dexiang;Liu Jing;Ma Feng;Chen Wang
44 Are China's new energy stock prices driven by new energy policies? 期刊论文 Reboredo Juan C.;Wen Xiaoqian
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