Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach.
Shanglei ChaiZhen ZhangMo DuLei JiangPublished in: Complex. (2020)
Keyphrases
- stock market
- stock index futures
- stock price
- short term
- independent component analysis
- garch model
- financial time series
- stock returns
- financial data
- chinese stock market
- stock trading
- stock exchange
- financial news
- face recognition
- stock data
- long term
- financial markets
- trading rules
- stock market data
- feature extraction
- listed companies
- portfolio optimization
- multiscale
- technical indicators
- generalized gaussian
- trading strategies
- text documents
- decision support system