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Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third …
Persistent link: https://www.econbiz.de/10008543477
A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Consideration is given to the effect of the proxy's mismeasurement of the market return on the estimation of the market model. Failure to...
Persistent link: https://www.econbiz.de/10008543524
The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher …
Persistent link: https://www.econbiz.de/10008543533
-strong ARCH(1) model, do not extend to the semi-strong GARCH(1,1) case because of underidentification. Augmenting the instrument …
Persistent link: https://www.econbiz.de/10009147566