A Censored-Garch Model of Asset Returns with Price Limits.

As one important form of market circuit breakers, price limits have been often imposed in stock and future mnarkets. This paper considers modelling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian approach to this model is developed.

MoreLess

Year of publication:	1998
Authors:	Wei, S.X.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	FINANCIAL MARKET \| ECONOMETRICS

More details

Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C13 - Estimation ; C24 - Truncated and Censored Models ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634068