Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach

DOI10.1016/j.matcom.2008.12.005zbMath1162.91527OpenAlexW3121723345MaRDI QIDQ1025347

Jie Zhu

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.005

zbMATH Keywords

market segmentationmultivariate GARCHmarket price of riskChina stock marketexpected return

Mathematics Subject Classification ID

Related Items (1)

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Unnamed Item

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