AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS
Year of publication: |
2009-03-01
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Authors: | Johansson, Anders C. |
Institutions: | Stockholm China Economic Research Institute, Handelshögskolan i Stockholm |
Subject: | China | Taiwan | Hong Kong | time-varying beta | GARCH | unit roots | long memory |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Forthcoming in Journal of Chinese Economic and Business Studies. The text is part of a series China Economic Research Center Working Paper Series Number 2009-5 33 pages |
Classification: | C32 - Time-Series Models ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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