Correlation and return dispersion dynamics in Chinese markets

Author:

Demirer Rıza,Lien Donald

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference13 articles.

1. A portfolio approach to estimating the average correlation coefficient for the constant correlation model;Aneja;Journal of Finance,1989

2. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2001

3. ARCH modeling in finance: A review of the theory and empirical evidence;Bollerslev;Journal of Econometrics,1992

4. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk;Campbell;Journal of Finance,2001

5. Christie, W. G., & Huang, R. D. (1994). Equity return dispersions. Working paper, Vanderbilt University.

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