Value at risk and return in Chinese and the US stock markets : double long memory and fractional cointegration
Year of publication: |
2021
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Authors: | Tan, Zhengxun ; Xiao, Binuo ; Huang, Yilong ; Zhou, Li |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-16
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Subject: | Stock markets | Double long memory | Fractional cointegration | Risk-return relation | Kointegration | Cointegration | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | China | Schätzung | Estimation | USA | United States | Theorie | Theory |
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