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Empirical Study on GARCH Effect in Shanghai Stock Market. Xu Xu - song,Ma Li - li,Chen Yan - bin. Journal of Wuhan University . 2002
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Heteroskedasticily in stock return data: volume versus GARCH effect. Lamoureux C. and Lastrapes W. The Journal of Finance . 1990
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Market microstructure: A survey. Madhavan,A. J of Financial Markets . 2000
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Conditional Heteroskedasticity in Asset Returns: A New Approach. Nelson,Daniel B. Econometrica . 1991
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Volatility and information flows in emerging equity market: A case of the Korean Slock Exchange. Pyun C.S,Lee S.Y,and Nam K. International Review of Financial Analysis . 2000
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ARCH versus information - based variances: evidence from Tokyo Stock Market. Miyakoshi. Japan and World Economy . 2002
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A subordinated stochastic process model with finite variances for speculative prices. Clark,P. Econometrica . 1973
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Empirical Study on the Relation Between Volatility and Trading Volume in Shenzhen Stock Market. Zhang Yong- dong,He Rong- tian. Systems Engineering . 2002
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The Relation between Price Changes and Trading Volume: A Survey. Karpoff,J. J of Financial and Quantitative Analysis . 1987