create a website

An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market. (2024). Long, Yonghong ; Yin, Hong ; Zhao, Bohan.
In: Mathematics.
RePEc:gam:jmathe:v:13:y:2024:i:1:p:41-:d:1554002.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Akdeniz, L.; Altay-Salih, A.; Caner, M. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM. Stud. Nonlinear Dyn. Econom. 2003, 6, 4. [CrossRef]
    Paper not yet in RePEc: Add citation now
  2. Aloy, M.; Laly, F.; Laurent, S.; Lecourt, C. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs. In Dynamic Modeling and Econometrics in Economics and Finance; Recent Econometric Techniques for Macroeconomic and Financial Data; Dufrénot, G., Matsuki, T., Eds.; Springer: Cham, Switzerland, 2021; Volume 27. [CrossRef]
    Paper not yet in RePEc: Add citation now

  3. Andersen, T.G.; Bollerslev, T.; Diebold, F.X.; Labys, P. Modeling and Forecasting Realized Volatility. Econometrica 2003, 71, 579–625. [CrossRef]

  4. Andrews, D.W.K. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica 1991, 59, 817–858. [CrossRef]

  5. Barndorff-Nielsen, O.E.; Hansen, P.R.; Lunde, A.; Shephard, N. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. J. Econom. 2011, 162, 149–169. [CrossRef]

  6. Barndorff-Nielsen, O.E.; Shephard, N. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics. Econometrica 2004, 72, 885–925. [CrossRef]

  7. Barndorff-Nielsen, O.E.; Shephard, N. Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models. J. R. Stat. Soc. Ser. Stat. Methodol. 2004, 64, 253–280. [CrossRef]
    Paper not yet in RePEc: Add citation now
  8. Bergsli, L.Ø.; Lind, A.F.; Molnár, P.; Polasik, M. Forecasting volatility of Bitcoin. Res. Int. Bus. Financ. 2022, 59, 101540. [CrossRef]
    Paper not yet in RePEc: Add citation now
  9. Cenesizoglu, T.; Papageorgiou, N.; Reeves, J.J.; Wu, H. An analysis on the predictability of CAPM beta for momentum returns. J. Forecast. 2019, 38, 136–153. [CrossRef]
    Paper not yet in RePEc: Add citation now
  10. Cont, R. Statistical Modeling of High-Frequency Financial Data. IEEE Signal Process. Mag. 2011, 28, 16–25. [CrossRef]
    Paper not yet in RePEc: Add citation now

  11. Corsi, F. A Simple Approximate Long-Memory Model of Realized Volatility. J. Financ. Econom. 2009, 7, 174–196. [CrossRef]

  12. Dickey, D.A.; Fuller, W.A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. J. Am. Stat. Assoc. 1979, 74, 427–431. [CrossRef]
    Paper not yet in RePEc: Add citation now

  13. Dutta, C.; Karpman, K.; Basu, S.; Ravishanker, N. Review of statistical approaches for modeling high-frequency trading data. Sankhya 2023, 85 (Suppl. 1), 1–48. [CrossRef]

  14. Ferson, W.E.; Harvey, C.R. The variation of economic risk premiums. J. Political Econ. 1991, 99, 385–415. [CrossRef]

  15. Ghysels, E. On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt? J. Financ. 1998, 53, 549–573. [CrossRef]

  16. Jagannathan, R.; Wang, Z. The Conditional CAPM and the Cross-Section of Expected Returns. J. Financ. 1996, 51, 3–53. [CrossRef]

  17. Jensen, M.C. The Performance of Mutual Funds in the Period 1945–1964. J. Financ. 1968, 23, 389–416. [CrossRef] Disclaimer/Publisher’s Note: The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of MDPI and/or the editor(s). MDPI and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.

  18. Johnk, W.D.; Soydemir, G. Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multivariate GARCH Model. J. Behav. Financ. 2015, 16, 105–119. [CrossRef]

  19. Kim, K.H.; Kim, T. Capital asset pricing model: A time-varying volatility approach. J. Empir. Financ. 2016, 37, 268–281. [CrossRef]

  20. Lin, Q. Understanding Idiosyncratic Momentum in the Chinese Stock Market. J. Int. Financ. Mark. Inst. Money 2022, 76, 101469. [CrossRef]

  21. Liu, L.Y.; Patton, A.J.; Sheppard, K. Does anything beat 5-min RV? A comparison of realized measures across multiple asset classes. J. Econom. 2015, 187, 293–311. [CrossRef]

  22. Long, W.; Cao, D.M.; Yang, W.; Shen, T. Characteristics of Different Styles and Sectors in China’s Stock Market. In The Chinese Stock Market Volume I; Cheng, S., Li, Z., Eds.; Palgrave Macmillan: London, UK, 2015; pp. 187–312.
    Paper not yet in RePEc: Add citation now

  23. Newey, W.K.; West, K.D. Automatic Lag Selection in Covariance Matrix Estimation. Rev. Econ. Stud. 1994, 61, 631–653. [CrossRef]

  24. Oh, D.H.; Patton, A.J. High-dimensional copula-based distributions with mixed frequency data. J. Econom. 2016, 193, 349–366. [CrossRef]

  25. Papavassiliou, V.G. A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework. J. Int. Financ. Mark. Inst. Money 2013, 24, 184–197. [CrossRef]

  26. Pei, G. Empirical Study on the Listed Banks of China: Based on the CAPM Model. In Proceedings of the 2019 International Conference onIntelligent Transportation, Big Data & Smart City (ICITBS), Changsha, China, 12–13 January 2019; pp. 642–644. [CrossRef] Mathematics 2025, 13, 41 13 of 13
    Paper not yet in RePEc: Add citation now

  27. Sharpe, W.F. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. J. Financ. 1964, 19, 425–442. [CrossRef]

  28. Shin, D.W. Forecasting realized volatility: A review. J. Korean Stat. Soc. 2018, 47, 395–404. [CrossRef]
    Paper not yet in RePEc: Add citation now
  29. Wang, J.; Chen, Z. Exploring Low-Risk Anomalies: A Dynamic CAPM Utilizing a Machine Learning Approach. Mathematics 2023, 11, 3220. [CrossRef]
    Paper not yet in RePEc: Add citation now
  30. Wang, S.; Xia, Y. Empirical tests of CAPM for China’s stock markets. In Portfolio Selection and Asset Pricing; Lecture Notes in Economics and Mathematical Systems; Springer: Berlin/Heidelberg, Germany, 2002; Volume 514, pp. 179–194. [CrossRef]
    Paper not yet in RePEc: Add citation now
  31. Zhang, P.; Chen, F. The CAPM applicability study on Chinese stock markets. In Proceedings of the 2009 International Workshop on Intelligent Systems and Applications (IWISA), Wuhan, China, 23–24 May 2009; pp. 1–4. [CrossRef]
    Paper not yet in RePEc: Add citation now

  32. Zhang, T.; Lence, S.H. Liquidity and asset pricing: Evidence from the Chinese stock markets. N. Am. J. Econ. Financ. 2022, 59,

  33. Zivot, E. Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures. Unpublished Manuscript. 2005. Available online: https://faculty.washington.edu/ezivot/research/ realizedvariance.pdf (accessed on 16 December 2024).
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

    Full description at Econpapers || Download paper

  2. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/19.

    Full description at Econpapers || Download paper

  3. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1202.1854.

    Full description at Econpapers || Download paper

  4. Exchange Rate Regime and Wage Determination in Central and Eastern Europe. (2008). Ziegler, Christina ; Schnabl, Gunther.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2471.

    Full description at Econpapers || Download paper

  5. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0808.

    Full description at Econpapers || Download paper

  6. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000805.

    Full description at Econpapers || Download paper

  7. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12690.

    Full description at Econpapers || Download paper

  8. Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital. (2006). Pastor, Lubos ; Sinha, Meenakshi ; Swaminathan, Bhaskaran.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11941.

    Full description at Econpapers || Download paper

  9. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE. (2006). Lafuente, Juan Angel ; Illueca, Manuel ; Muoz, Manuel Illueca .
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2006-05.

    Full description at Econpapers || Download paper

  10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

  11. Understanding stock return predictability. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-019.

    Full description at Econpapers || Download paper

  12. Equity market volatility and expected risk premium. (2006). Zhang, Lu ; Guo, Hui ; Chen, Long.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-007.

    Full description at Econpapers || Download paper

  13. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

    Full description at Econpapers || Download paper

  14. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

    Full description at Econpapers || Download paper

  15. Unexpected volatility and intraday serial correlation. (2006). Bianco, Simone ; Roberto Ren'o, .
    In: Papers.
    RePEc:arx:papers:physics/0610023.

    Full description at Econpapers || Download paper

  16. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Graversen, Sven Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

  17. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

  18. Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects. (2005). Kim, Jae ; Doucouliagos, Chris.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2005-22.

    Full description at Econpapers || Download paper

  19. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

  20. Oil price volatility and U.S. macroeconomic activity. (2005). Kliesen, Kevin ; Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:nov:p:669-84:n:v.87no.6.

    Full description at Econpapers || Download paper

  21. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

  22. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

  23. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Graversen, Svend Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0429.

    Full description at Econpapers || Download paper

  24. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

  25. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

  26. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1. (2004). Jagannathan, Ravi ; Ma, Tongshu ; Basak, Gopal K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10447.

    Full description at Econpapers || Download paper

  27. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad ; D'Italia, Banca.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

  28. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:04.10.

    Full description at Econpapers || Download paper

  29. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

  30. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

  31. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility. (2004). Hurn, Stan ; Clements, Adam ; White, Scott I..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:46.

    Full description at Econpapers || Download paper

  32. The informational content of over-the-counter currency options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

    Full description at Econpapers || Download paper

  33. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

    Full description at Econpapers || Download paper

  34. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

    Full description at Econpapers || Download paper

  35. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

  36. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

    Full description at Econpapers || Download paper

  37. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

    Full description at Econpapers || Download paper

  38. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

  39. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

  40. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

    Full description at Econpapers || Download paper

  41. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

  42. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

  43. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

    Full description at Econpapers || Download paper

  44. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

  45. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

  46. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9664.

    Full description at Econpapers || Download paper

  47. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

    Full description at Econpapers || Download paper

  48. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

  49. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

  50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; Brandt, Michael W. ; April, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 11:17:42 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.