Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
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Publication:5440106
DOI10.1080/14697680601173147zbMath1151.91715OpenAlexW2130568235MaRDI QIDQ5440106
Thomas C. Chiang, Lin Tan, Hui-Min Li
Publication date: 31 January 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680601173147
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Cites Work
- An econometric analysis of nonsynchronous trading
- ARCH modeling in finance. A review of the theory and empirical evidence
- A test for constant correlations in a multivariate GARCH model
- Generalized autoregressive conditional heteroscedasticity
- International Equity Flows and Returns: A Quantitative Equilibrium Approach
- Surprise volume and heteroskedasticity in equity market returns
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