Girardin, Eric; Joyeux, Roselyne - In: Economic Modelling 34 (2013) C, pp. 59-68
In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...
