Comovements between Chinese and global stock markets : evidence from aggregate and sectoral data
Thomas C. Chiang, Lanjun Lao, Qingfeng Xue
| Year of publication: |
November 2016
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|---|---|
| Authors: | Chiang, Thomas C. ; Lao, LanJun ; Xue, Qingfeng |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 47.2016, 4, p. 1003-1042
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| Subject: | Stock market linkages | Smooth transition | Variance premium | Conditional variance | DCC model | Comovements | Aktienmarkt | Stock market | China | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Korrelation | Correlation | Volatilität | Volatility | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-015-0529-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011595781