Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Year of publication: |
2016
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Authors: | Liu, Hao ; Shen, Shihan ; Wang, Tianyi ; Huang, Zhuo |
Published in: |
China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University. - London [u.a.] : Routledge, ISSN 1753-8963, ZDB-ID 2433693-2. - Vol. 9.2016, 2, p. 140-153
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Subject: | risk-return relation | realized GARCH | volatility feedback | risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | China | Aktienmarkt | Stock market | Risiko | Risk | CAPM | Schätzung | Estimation |
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