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A censored–GARCH model of asset returns with price limits · Study

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ArticleA censored–GARCH model of asset returns with price limits

Steven X. Wei2002

Article2002

A censored–GARCH model of asset returns with price limits

36 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1983Limited-dependent and qualitative variables in econometrics 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1993Measuring and Testing the Impact of News on Volatility

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2005Unobserved component models with asymmetric conditional variances

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Year2002

Typearticle

Published2002-03-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0927-5398(01)00051-2

openalex_workW2040460458

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