Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Donghua Wang, Jin Ding, Guoqing Chu, Dinghai Xu and Tony S. Wirjanto
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Donghua ; Ding, Jin ; Chu, Guoqing ; Xu, Dinghai ; Wirjanto, Tony S. |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 7, p. 781-804
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2020.1814946 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416088