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The relative efficiency of method of moments estimators

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 92 (1999) 1, pp. 149-172

Persistent link: https://www.econbiz.de/10001400094

Estimation of continuous-time models for stock returns and interest rates

Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168

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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

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Term premium and volatility : a nonlinear analysis of the Swiss interest rates

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Volume and the Nonlinear Dynamics of Stock Returns

Hsu, Chiente - 1998

This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain...

Persistent link: https://www.econbiz.de/10013519390