Volatility of stock price as predicted by patent data: An MGARCH perspective

doi:10.1016/j.jempfin.2006.10.003

科研成果详情

发表状态	已发表Published
题名	Volatility of stock price as predicted by patent data: An MGARCH perspective
作者	Chow, William W.1 ; Fung, Michael K.2
发表日期	2008
发表期刊	Journal of Empirical Finance
ISSN/eISSN	0927-5398
卷号	15 期号:1 页码:64-79
摘要	This paper proposes to model stock price volatility and variations in innovation effort using a Multivariate GARCH structure designed to extract information for risk prediction. The salient feature is that the model order, alongside other parameters, is endogenously determined by the estimation procedures. Using stock prices of U.S. computer firms, it is found that the model can pick up the correlation between the two variables and aid in producing accurate Value-at-Risk estimates. © 2007 Elsevier B.V. All rights reserved.
关键词	Innovation, Patents Multivariate GARCH Reversible jump MCMC Value-at-Risk
DOI	10.1016/j.jempfin.2006.10.003
URL	查看来源
收录类别	SSCI
语种	英语English
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000258110900004
Scopus入藏号	2-s2.0-37049013784
引用统计	被引频次：7[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/8430
专题	个人在本单位外知识产出
通讯作者	Fung, Michael K.
作者单位	1.Hong Kong University of Science and Technology, Hong Kong, China 2.Hong Kong Polytechnic University, Hong Kong, China
推荐引用方式 GB/T 7714	Chow, William W.,Fung, Michael K. Volatility of stock price as predicted by patent data: An MGARCH perspective[J]. Journal of Empirical Finance, 2008, 15(1): 64-79.
APA	Chow, William W., & Fung, Michael K. (2008). Volatility of stock price as predicted by patent data: An MGARCH perspective. Journal of Empirical Finance, 15(1), 64-79.
MLA	Chow, William W.,et al."Volatility of stock price as predicted by patent data: An MGARCH perspective". Journal of Empirical Finance 15.1(2008): 64-79.