Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Year of publication: |
2021
|
---|---|
Authors: | Wang, Donghua ; Ding, Jin ; Chu, Guoqing ; Xu, Dinghai ; Wirjanto, Tony S. |
Subject: | bound effects | markov Switching | mixture Models | Price limits | value-at-Risk | China | Markov-Kette | Markov chain | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Finanzmarktregulierung | Financial market regulation | Schätzung | Estimation |
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