期刊论文

Huang, Chuangxia

英文

Eurasia Journal of Mathematics, Science and Technology Education

1305-8215

2017

13

12

8367-8382

10.12973/ejmste/78634

National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71701081, 71701176, 71171024, 71371195, 71431008, 71471020]; Philosophy and Social Science Foundation of Jiangsu Provincial Education Department of China [2017SJB0816]; Humanities and Social Science Youth foundation of Ministry of Education of China [17YJC790008, 17YJC790101]; Hunan Provincial Natural Science FoundationNatural Science Foundation of Hunan Province [2016JJ1001]; Scientific Research Fund of Hunan Provincial Education DepartmentHunan Provincial Education Department [15A003]; China Postdoctoral Science FoundationChina Postdoctoral Science Foundation [2014M550097, 2015T80144]

本校为通讯机构

This paper uses the downside realized semi variance to measure the downside risk and then the HAR-DR, HAR-DR-V and HAR-DR-DV models on the basis of the HAR-RV model are built. Finally, by comparing the three models' prediction ability for downside risk in the stock spot market and futures market, we test whether the trading volume and downside trading volume of the two markets can be used to predict the downside risk. And we also study the differences under different samples and different models. The results indicate that trading volume and downside trading volume have different prediction eff...