مرکز منطقه ای اطلاع رساني علوم و فناوري - A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits

Title of article :

A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits

Author/Authors :

K. C. John Wei، نويسنده , , Raymond Chiang، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

445

To page :

461

Keywords :

Volatility , Price limits , Generalized method of moments (GMM) estimator , \Instrumental-variables (IV)estimator

Journal title :

Pacific-Basin Finance Journal

Serial Year :

2004

Journal title :

Pacific-Basin Finance Journal

Record number :

249394

Link To Document :