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2013 Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Rongquan Bai, Zuoquan Zhang, Menggang Li
J. Appl. Math. 2013(SI26): 1-8 (2013). DOI: 10.1155/2013/682159

Abstract

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.

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Rongquan Bai. Zuoquan Zhang. Menggang Li. "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

Information

Published: 2013
First available in Project Euclid: 7 May 2014

zbMATH: 1271.91055
MathSciNet: MR3074328
Digital Object Identifier: 10.1155/2013/682159

Rights: Copyright © 2013 Hindawi

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Vol.2013 • No. SI26 • 2013
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