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Transaction tax and stock market behavior : evidence from an emerging market

Baltagi, Badi H.; Li, Dong; Li, Qi - In: Empirical economics : a journal of the Institute for … 31 (2006) 2, pp. 393-408

Persistent link: https://www.econbiz.de/10003333479

Impact of the securities transaction tax on stock markets : evidence from Chinese stock markets

Wang, Na; Li, Dong - In: The Chinese economy 45 (2012) 5, pp. 26-49

Persistent link: https://www.econbiz.de/10009686857

The impact of settlement time on the volatility of stock markets

Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694

Persistent link: https://www.econbiz.de/10001240752

Non-standard inference for augmented double autoregressive models with null volatility coefficients

Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 215 (2020) 1, pp. 165-183

Persistent link: https://www.econbiz.de/10012439437

On a threshold double autoregressive model

Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80

Persistent link: https://www.econbiz.de/10011691211

Renorming volatilities in a family of GARCH models

Li, Dong; Wu, Wuqing - In: Econometric theory 34 (2018) 6, pp. 1370-1382

Persistent link: https://www.econbiz.de/10012038081

On dynamics of volatilities in nonstationary GARCH models

Li, Dong; Li, Muyi; Wu, Wuqing - In: Statistics & Probability Letters 94 (2014) C, pp. 86-90

This paper precisely characterizes asymptotic behaviors of the volatilities in nonstationary GARCH(1, 1) models. After suitable renormalization, it is shown that the volatility converges in distribution to a non-degenerate limit. This provides more insight into the dynamics of volatilities in...

Persistent link: https://www.econbiz.de/10010930584