Jump tail dependence in the Chinese stock market
Year of publication: |
2016
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Authors: | Li, Sophia Zhengzi ; Wang, Hao ; Zhao, Hua |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 52.2016, 10/12, p. 2379-2396
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Subject: | asymmetry | Chinese stock market | high-frequency data | jumps | tail dependence | Aktienmarkt | Stock market | China | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Aktienindex | Stock index |
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