Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach.
C. J. AdcockC. YeS. YinD. ZhangPublished in: J. Oper. Res. Soc. (2019)
Keyphrases
- chinese stock market
- garch model
- stock market
- stock price
- stock returns
- listed companies
- exchange rate
- sar images
- multivariate time series
- spot market
- stock exchange
- knowledge discovery
- pattern discovery
- discovery process
- stock index futures
- foreign exchange
- long run
- financial data
- heavy tailed
- financial markets
- investment strategies
- short term
- stock data
- electronic commerce
- non stationary
- long term
- data mining