On the efficiency of conditional heteroskedasticity models

Review of Quantitative Finance and Accounting

Volumn 10, Issue 1, 1998, Pages 21-37

  Lee, T Y ^a   Wirjanto, Tony S ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

ARCH; Efficiency; Financial time series; Maximum likelihood; Non normality generalized method of moments; Optimal choice of instruments

Indexed keywords

EID: 54749114067     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008244029475     Document Type: Article

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