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Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes
16 references·2 citing·24 second hop
Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes (1999)Limit Moves as Censored Observations of E…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation (1995)Finite-Sample Properties of t…Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity (1993)Tests of Unbiasedness in the …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Quasi-maximum likelihood estimation of dynamic models with time varying covariances (1988)Quasi-maximum likelihood esti…Tests of the martingale hypothesis for foreign currency futures with time-varying volatility (1987)Tests of the martingale hypot…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…A theory of price limits in futures markets (1986)A theory of price limits in f…Limited-Dependent and Qualitative Variables in Econometrics (1983)Limited-Dependent and Qualita…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Applied Statistical Decision Theory. (1962)Applied Statistical Decision …Applied Statistical Decision Theory (1962)Applied Statistical Decision …A censored stochastic volatility approach to the estimation of price limit moves (2008)A censored stochastic volatil…Unobserved component models with asymmetric conditional variances (2005)Unobserved component models w…Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Forecasting with artificial neural networks: (1998)Introduction to Time Series and Forecasting (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Testing for a Unit Root in Time Series Regression (1988)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Cross Section and Panel Data (2001)Does Foreign Direct Investment Increase the Productivity of Domestic Firms? In Search of Spillovers Through Backward Linkages (2004)Introductory Econometrics for Finance (2008)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Bayesian Experimental Design: A Review (1995)Lectures on Stochastic Programming (2009)A long memory property of stock market returns and a new model (1993)Bandit Processes and Dynamic Allocation Indices (1979)On the aggregation of information in competitive markets (1980)The real term structure and consumption growth (1988)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1983Limited-Dependent and Qualitative Variables in Econometrics13,338 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1962Applied Statistical Decision Theory2,172 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1962Applied Statistical Decision Theory.1,443 cited
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  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1988Quasi-maximum likelihood estimation of dynamic models with time varying covariances170 cited
  • 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation124 cited
  • 1987Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

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119 cited
  • 1993Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity57 cited
  • Cited by

    • 2005Unobserved component models with asymmetric conditional variances18 cited
    • 2008A censored stochastic volatility approach to the estimation of price limit moves16 cited