Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
Year of publication: |
2013
|
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Authors: | Girardin, Eric ; Joyeux, Roselyne |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 34.2013, C, p. 59-68
|
Publisher: |
Elsevier |
Subject: | MIDAS | Conditional variance | China |
Type of publication: | Article |
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Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; c58 ; G10 - General Financial Markets. General ; G15 - International Financial Markets ; E44 - Financial Markets and the Macroeconomy |
Source: |
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