Conditional heteroscedasticity with leverage effect in stock returns : evidence from the Chinese stock market
Ling Long; Albert K. Tsui; Zhaoyong Zhang
| Year of publication: |
2014
|
|---|---|
| Authors: | Long, Ling ; Tsui, Albert K. ; Zhang, Zhaoyong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 37.2014, p. 89-102
|
| Subject: | Stock return | Chinese stock market | Conditional heteroskedasticity | Leverage effect | Regime persistence | Kapitaleinkommen | Capital income | China | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010416824