期刊论文、会议论文

Wen, Fenghua

英文

Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

2012

224-228

5th International Conference on Business Intelligence and Financial Engineering (BIFE)

2012 Fifth international conference on business Intelligence and financial engineering

AUG 18-21, 2012

Lanzhou, PEOPLES R CHINA

[Wen, Fenghua;Xiao, Jinli;Liu, Zhifeng] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Hunan, Peoples R China.^[Dai, Zhifeng] Changsha Univ Sci & Technol, Sch Math & Comp Sci, Changsha, Peoples R China.^[Yang, Xiaoguang] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.

Natl Nat Sci Fdn, Chinese Acad Sci (CAS), Chinese Acad Sci (CAS), Acad Math & Syst Sci, City Univ Hong Kong, Coll Business, Beijing Univ Chem Technol, Sch Econ & Management, Chinese Acad Sci (CAS), Ctr Forecasting Sci (CEFS), Chinese Acad Sci (CAS), Key Lab Management, Decis & Informat Syst (MADIS), Changsha Univ Sci & Technol, Sch Econ & Management, Beijing Univ Chem Technol, Ctr Energy Chem Management, Beijing Zhongke Markway Educ Technol Ctr, Syst Engn Soc China, Beijing Operat Res Soc, Int Inst Decis Sci (IIDS), Syst Engn Soc China, Tech Comm Energy Chem Syst Engn, Operat Res Soc China, Tech Comm Decis Sci, Chinese Soc Management Modernizat, Tech Comm Management Sci & Engn, Syst Engn Soc China, Tech Comm Financial Syst Engn, Chinese Soc Management Modernizat, Tech Comm Business Intelligence, Chinese Soc Optimizat, Youth Branch, Overall Planning & Econ Math

Yu, L Zhang, G Wang, S

345 E 47TH ST, NEW YORK, NY 10017 USA

IEEE

978-0-7695-4750-3; 978-1-4673-2092-4

10.1109/BIFE.2012.55

Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [70971013, 71171024]; Hunan Natural Science FoundationNatural Science Foundation of Hunan Province [09JJ1010]; Hunan Social Science Foundation Key Project [11ZDB11]

本校为第一且通讯机构

Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As a further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCHS-M Model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the time-varying skewness in the return distribution and the time-varying risk premium coefficient. The empirical study indicates that the coefficient of the ri...