Estimating time-varying beta of price limits and its applications in China stock market (Q364467)
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scientific article; zbMATH DE number 6206838
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating time-varying beta of price limits and its applications in China stock market |
scientific article; zbMATH DE number 6206838 |
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Estimating time-varying beta of price limits and its applications in China stock market (English)
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9 September 2013
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Summary: This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.
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