The dependence structure in volatility between Shanghai and Shenzhen stock market in China : a copula-MEM approach
Mingyuan Guo and Xu Wang
| Year of publication: |
2016
|
|---|---|
| Authors: | Guo, Mingyuan ; Wang, Xu |
| Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1398, ZDB-ID 2681650-7. - Vol. 6.2016, 3, p. 264-283
|
| Subject: | Dependence | Copula | High-frequency data | Multiplicative error model | Realized volatility | Volatilität | Volatility | China | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Shanghai | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/CFRI-09-2015-0122 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011722771