Realized Semivariances and the Variation of Signed Jumps in China’s Stock Market
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DOI: 10.1080/1540496x.2015.1095566
Abstract: ABSTRACT In this article, we explore the asymmetric predictability of realized semivariances and the difference of signed jump variations in China’s stock market with high frequency data from 2006 to 2013. Our empirical results show… read more here.
Keywords: market realized; china stock; realized semivariances; stock market ... See more keywords