Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models
Year of publication: |
January 2017
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Authors: | Xue, Wen-Jun ; Zhang, Li-Wen |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 60.2017, p. 391-401
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Subject: | Stock return autocorrelations | Predictability | Chinese stock market | Threshold quantile autoregressive model | Schätzung | Estimation | Autokorrelation | Autocorrelation | Kapitaleinkommen | Capital income | China | Börsenkurs | Share price | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model |
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