Limit moves as censored observations of equilibrium futures price in garch processes

Journal of Business and Economic Statistics

Volumn 17, Issue 4, 1999, Pages 397-408

  Morgan, I G ^a   Trevor, R G ^b  

^a QUEEN S UNIVERSITY   (Canada)

^b MACQUARIE UNIVERSITY   (Australia)

Author keywords

EM algorithm; Price limits; Rational expectations

Indexed keywords

EID: 0033435318     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1999.10524828     Document Type: Article

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