Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
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- repec:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9232-3 is not listed on IDEAS
- Weber, Enzo & Zhang, Yanqun, 2012.
"Common influences, spillover and integration in Chinese stock markets,"
Journal of Empirical Finance,
Elsevier, vol. 19(3), pages 382-394.
- Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
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KeywordsVolatility modelling; GARCH models; Comovement; Correlation modelling;
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