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Volatility clustering and nontrading days in Chinese stock markets · Study

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ArticleVolatility clustering and nontrading days in Chinese stock markets

Ralph Friedmann2002

Article2002

Volatility clustering and nontrading days in Chinese stock markets

Ralph Friedmann · Walter G. Sanddorf-Köhle

53 citations·0/0 files stored·Journal of Economics and Business

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1987Expected stock returns and volatility 1993Measuring and Testing the Impact of News on Volatility 1986Stock return variances

Cited by

2015Forecasting Tehran stock exchange volatility; Markov switching GARCH approach 2006Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches 2011Asymmetric herding as a source of asymmetric return volatility 2019Volatility modeling and the asymmetric effect for China’s carbon trading pilot market 2004Return and risk interactions in Chinese stock markets 2012Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach

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Year2002

Typearticle

Published2002-03-01

VenueJournal of Economics and Business

ISSN-L0148-6195

Languageen

Citations53

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0148-6195(01)00062-5

openalex_workW2011230232

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