Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach.

Tue, 01 Jan 2019 00:00:00 +0100

Christopher J. Adcock, Caiwei Ye, Shuxing Yin, Dalu Zhang :
Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach. J. Oper. Res. Soc. 70(10): 1709-1719 (2019)