Год выпуска: 2011 Автор: Fang Liu and Bill Peters Издательство: LAP Lambert Academic Publishing Страниц: 108 ISBN: 9783843390415
Описание
Ever since it was founded, China''s stock market has experienced a cycle of boom and bust. Some investors earn money from it, while many others suffer enormous losses. In recent years, the overall performance of China''s stock market has been like a roller coaster. The entire stock market is full of speculation. Among all the factors related to this book, we decided to pay special attention to the impact of QFII (Qualified Foreign Institution Investor) trading in the market, because a large number of foreign investments can accelerate the development of the capital market. However, the impact of the QFII system on the host country is still a topic of debate among scholars. As a result, we focus on quantitative methods to analyze its impact. Methods for estimating the log- likelihood function and the filtered values of the time-varying volatilities and correlations are also provided. The key part of this book is focused on the most commonly used GARCH(1,1) model in...
