Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach
Year of publication: |
2008-03-05
|
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Authors: | Zhu, Jie |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | China stock market | market segmentation | expected return | market price of risk | GBM | GARCH |
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