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CHE2: Forecasting Chinese Equity Risk

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CHE2: Forecasting Chinese Equity Risk

Jun 1, 2005

CHE2 forecasts risk in portfolios of mainland Chinese equities - i.e., in portfolios composed of A- and B-shares. Its predictions utilize daily returns data, so that the model responds quickly to changes in the dynamic Chinese risk environment.


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Research authors

  • Xiaowei Li
  • Guy Miller
  • Nathan Sosner
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