haku: @indexterm AUTOCORRELATION / yhteensä: 12
viite: 5 / 12
Tekijä: | Wei, S.X. |
Otsikko: | A censored-GARCH model of asset returns with price limits |
Lehti: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 197-223 |
Asiasana: | ASSETS AUTOCORRELATION PRICES REGRESSION ANALYSIS RETURN ON INVESTMENT |
Kieli: | eng |
Tiivistelmä: | As one type of market circuit breaker, price limits have been imposed on many stock and futures markets. This paper proposes a censored-GARCH model for the return process of assets with price limits and develops a Bayesian approach to this model. |
SCIMA