Investor attention and the predictability of the volatility of CNY-CNH spreads : evidence from a GARCH-MIDAS model
Xiaoping Li, Zhipeng Zhang, Junyu Pan, Jihong Duan
| Year of publication: |
2023
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|---|---|
| Authors: | Li, Xiaoping ; Zhang, Zhipeng ; Pan, Junyu ; Duan, Jihong |
| Published in: |
Accounting and finance. - Melbourne : Wiley-Blackwell, ISSN 1467-629X, ZDB-ID 1482438-3. - Vol. 63.2023, 5, p. 4939-4959
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| Subject: | CNY-CNH spreads | GARCH-MIDAS model | investor attention | policy attention | Anlageverhalten | Behavioural finance | Volatilität | Volatility | Zinsstruktur | Yield curve | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/acfi.13191 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014477212