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

Pacific Basin Finance Journal

Volumn 12, Issue 4, 2004, Pages 445-461

  Wei, K C John ^a   Chiang, Raymond ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Generalized method of moments (GMM) estimator; Instrumental variables (IV) estimator; Price limits; Volatility

Indexed keywords

EID: 3342951126     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2004.01.001     Document Type: Article

References (22)

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