Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China-Reference-Cited by-同舟云学术

Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China

Published:2020-09-09 Issue:7 Volume:53 Page:781-804
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Wang Donghua¹,Ding Jin¹,Chu Guoqing²,Xu Dinghai³,Wirjanto Tony S.⁴

Affiliation:

1. School of Business, East China University of Science and Technology , Shanghai, China

2. Hejiang Seaport Group Finance Co.,Ltd , Zhejiang, China

3. Department of Economics, University of Waterloo , Ontario, Canada

4. School of Accounting & Finance and Department of Statistics & Actuarial Science, University of Waterloo , Ontario, Canada

Funder

National Natural Science Foundation of China

University of Waterloo

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2020.1814946

Reference22 articles.

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2. Bauwens, L. C. S. Bos , and H. K. V. Dijk 1999. “Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-risk.” Econometric Institute Research Papers .

3. The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges

4. Chen, T. Z. Gao , J. He , W. Jiang , and W. Xiong 2017. “Daily Price Limits and Destructive Market Behavior.” Working Paper, Princeton University .

5. The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange

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