This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a...

This study considers the ability of the Component-GARCH model to capture the stylized features of volatility in 14 stocks traded on the Stock Exchange of Hong Kong. The relative merits of several GARCH models nested in the Component-GARCH are investigated using the standard likelihood ratio...