Dynamic conditional correlations between Chinese sector returns and the S&P 500 index : an interpretation based on investment shocks
Year of publication: |
March 2017
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Authors: | Kim, Myeong Hyeon ; Sun, Lingxia |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 48.2017, p. 309-325
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Subject: | Dynamic conditional correlation | Sector portfolio | Investment-specific shock | Investment opportunity | Schock | Shock | Korrelation | Correlation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Investition | Investment | Portfolio-Management | Portfolio selection | China |
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