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Procyclical volatility in Chinese stock markets |
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| Authors: | Deschamps Bruno Fei Tianlun Jiang Ying Liu Xiaoquan |
| Affiliation: | 1.Nottingham University Business School China, University of Nottingham Ningbo China, Ningbo, 315100, People’s Republic of China ; |
| Abstract: | Review of Quantitative Finance and Accounting - We investigate the macroeconomic determinants of stock market volatility in China using the two-component GARCH-MIDAS model of Engle et al.... |
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