Macro fundamentals as a source of stock market volatility in China
A GARCH-Midas approach
Bibliographic Data
| ID | 19040313 |
|---|---|
| Authors | Éric Girardin (0000-0002-5443-3640, corresponding author), Roselyne Joyeux (0000-0002-3823-9135) |
| Year | 2012 |
| Volume | 34 |
| Pages | 59-68 |
| Publication date | 2012-12-23 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Modelling (JOURNAL) |
| Journal identifiers | ISSN: 0264-9993 • E-ISSN: 1873-6122 |
| Publisher | Elsevier BV (PUBLISHER) |
| DOI | 10.1016/j.econmod.2012.12.001 |
| OpenAlex | W2065794328 |
| Language | EN |
| Citations received | 8 |
| References cited | 30 |
Autoregressive conditional heteroskedasticity · China · Econometrics · Economics · Financial economics · Macro · Stock market · Computer Science · Engineering · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact
Did bubbles migrate from the stock to the housing market in China between 2005 and 2010
Fundamentals and the volatility of real estate prices in China
Global and domestic economic policy uncertainties and tourism stock market
Does the macroeconomy matter to market volatility? Evidence from US industries
BRICS-T Ülkelerinde Makroekonomik Faktörlerin ve Belirsizliklerin Hisse Senedi Volatilitesi Üzerindeki Etkisi
Did Bubbles Migrate from the Stock to the Housing Market in China between 2005 and 2010
Dynamic relationship between the stock market and macroeconomy in China (1995–2018)
Artificial intelligence assets and energy markets
Estimating and Testing Linear Models with Multiple Structural Changes
Midas Regressions
Computation and analysis of multiple structural change models
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’
Bank credit and seasonal anomalies in China's stock markets
Overconfidence and Speculative Bubbles
| Unique citing works | 8 |
|---|---|
| Citations per year | 0,8 |
| Citation span | 2016 - 2026 (11) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 8 |