This paper examines a wide variety of popular volatility models for stock index return, including Random Walk model, Autoregressive model, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model, GARCH-jump model with Normal, and Student t-distribution...

Purpose – The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach – The authors first examine the relationship between the market correlation and the market return....

Security market integration and spanning failures can arise from differential informational access or from administrative barriers to different types of investor, e.g. onshore versus offshore. However, where sufficient motivation exists, a parallel market could arise, where offshore investors...

In this paper, a new lattice Boltzmann model for the coupled nonlinear system of viscous Burgers’ equation is proposed by using the double evolutionary equations. Through selecting equilibrium distribution functions and amending functions properly, the governing evolution system can be...