Conditional volatility persistence and realized volatility asymmetry : evidence from the Chinese stock markets
Year of publication: |
2020
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Authors: | Su, Fei ; Wang, Lei |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 14, p. 3252-3269
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Subject: | conditional volatility persistence | economic value | realized variance | volatility asymmetry | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | China | Schätzung | Estimation |
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