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Volume decomposition and volatility in dual-listing H-shares
Malay K. Dey,
Chaoyan Wang
School of Economics
Research output
:
Journal Publication
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Article
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peer-review
1
Citation (Scopus)
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Keyphrases
H-shares
100%
Dual Listing
100%
Volume-volatility
100%
Volume Decomposition
100%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
40%
Volatility
40%
Liquidity
40%
Model Fitting
20%
Covariance Function
20%
Bivariate GARCH
20%
Information Content
20%
Liquidity Risk
20%
Chinese ADRs
20%
Conditional Volatility
20%
Expected Volume
20%
Mathematics
GARCH Model
100%
Conditionals
50%
Standard Deviation
50%
Variance
50%
Bivariate
50%
Covariance Function
50%
Information Content
50%
Model Fit
50%
Liquidity Risk
50%
Economics, Econometrics and Finance
Volatility
100%
Dual Listing
100%
ARCH Model
50%
Generalized Autoregressive Conditional Heteroskedasticity
25%
Information Value
25%
Measure of Dispersion
25%
Computer Science
Information Content
100%
Covariance Function
100%