Empirical analysis of dynamic correlations of stock returns: Evidence from Chinese A-share and B-share markets

Quantitative Finance

Volumn 7, Issue 6, 2007, Pages 651-667

  Chiang, Thomas C ^a   Tan, Lin ^b   Li, Huimin ^c  

^a DREXEL UNIVERSITY   (United States)

^b CALIFORNIA STATE POLYTECHNIC UNIVERSITY   (United States)

^c WEST CHESTER UNIVERSITY   (United States)

Author keywords

Comovement; Correlation modelling; GARCH models; Volatility modelling

Indexed keywords

EID: 36749060141     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680601173147     Document Type: Article

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