Department of Economics and Business Economics

Testing for Expected Return and Market Price of Risk in Chinese A and B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Jie Zhu, Denmark
  • School of Economics and Management
Udgivelsesdato: April
Original languageEnglish
JournalMathematics and Computers in Simulation
Volume79
Issue8
Pages (from-to)2633-2653
ISSN0378-4754
Publication statusPublished - 2009

    Research areas

  • China stock market; market segmentation; expected return; market price of risk; multivariate GARCH

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