Teulon, Frédéric; Guesmi, Khaled; Fattoum, Salma - Institut de Préparation à l'Administration et à la … - 2014
This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the...