Modeling Volatility for the Chinese Equity Markets
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More about this item
KeywordsEmerging markets; Volatility clustering; GARCH-M; IGARCH; TAGARCH; Spill-over effect;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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