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.
"Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market." J. Appl. Math. 2013 (SI26) 1 - 8, 2013. https://doi.org/10.1155/2013/682159