Browsing Publications Hosted at Saint Mary’s by Subject "Bond market -- China"

Browsing Publications Hosted at Saint Mary’s by Subject "Bond market -- China"

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  • Li, Wei-Xuan; Vishwakarma, Vijay Kumar (Atlantic Schools of Business, 2010)
    This study finds time-varying risk premia for Shanghai and Shenzhen composite indices and T-bills in China. We use Bollerslev, Engle, and Wooldridge’s (1988) multivariate GARCH in mean to estimate the time-varying risk ...