Value at risk and return in Chinese and the US stock markets : double long memory and fractional cointegration
Zhengxun Tan, Binuo Xiao, Yilong Huang, Li Zhou
| Year of publication: |
2021
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| Authors: | Tan, Zhengxun ; Xiao, Binuo ; Huang, Yilong ; Zhou, Li |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-16
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| Subject: | Stock markets | Double long memory | Fractional cointegration | Risk-return relation | Kointegration | Cointegration | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | China | Theorie | Theory | USA | United States | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821412