What is it about?
analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data
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Why is it important?
Using a multiplicative error model (hereinafter MEM) to describe the margins in volatility of China’s Shanghai and Shenzhen stock market, this study adopts static and time-varying copulas, respectively, estimated by maximum likelihood estimation method to describe the dependence structure in volatility between Shanghai and Shenzhen stock market in China.
Perspectives
Thanks the journal for publishing our article. Nowadays I am interested in environmenal economics, industrial organizations and energy finance. I am willing to share our works with other scholars.
lecturer Xu Wang
China University of Mining and Technology
Read the Original
This page is a summary of: The dependence structure in volatility between Shanghai and Shenzhen stock market in China, China Finance Review International, August 2016, Emerald,
DOI: 10.1108/cfri-09-2015-0122.
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