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Estimating time-varying beta of price limits and its applications in China stock market
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نویسنده
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bai r. ,zhang z. ,li m.
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منبع
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journal of applied mathematics - 2013 - دوره : 2013 - شماره : 0
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چکیده
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This paper proposes an estimation method of time-varying beta of price limits. it uses china stock market trading data to estimate time-varying beta and researches on systemic risk in china stock market. by comparing prediction errors of market model,ss market model,and censored-ss market model,it verifies the effectiveness of censored-ss market model. furthermore it has some meaningful conclusions in china stock market. © 2013 rongquan bai et al.
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آدرس
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school of science,beijing jiaotong university, China, school of science,beijing jiaotong university, China, china center for industrial security research, China
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Authors
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