A case study on the shareholder network effect of stock market data: an SARMA approach

DOI10.1007/S11425-021-1917-4MaRDI QIDQ2090415zbMATH OpenOpenAlexFDO

Authors Rong Zhang, Jing Zhou, Wei Lan, Hansheng Wang

Publication date 25 October 2022

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-021-1917-4

zbMATH Keywords

quasi-maximum likelihood estimatorshareholder network effectspatial autoregressive moving average modelstock market data

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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Cited in

(3)

• Benefits transfer research of public companies shareholders based on apriori algorithm
• A semiparametric dynamic higher-order spatial autoregressive model
• Adaptive subsampling spectral clustering based on second-order neighbour relationships for sparse networks

Describes a project that uses

Uses Software

• plfit

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