A Gibbs sampling approach to the estimation of linear regression models under daily price limits-Reference-Cited by-同舟云学术

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A Gibbs sampling approach to the estimation of linear regression models under daily price limits

Published:1997-02 Issue:1 Volume:5 Page:39-62
ISSN:0927-538X
Container-title:Pacific-Basin Finance Journal
language:en
Short-container-title:Pacific-Basin Finance Journal

Author:

Chou Pin-Huang

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference23 articles.

1. Price limits and estimation of expected return and risk;Chiang,1989

2. Using daily security prices to estimate volatility and regression models under price limits;Chiang,1995

3. Bayesian inference of tobit model;Chib;Journal of Econometrics,1992

4. Markov chain Monte Carlo simulation methods in econometrics;Chib,1994

5. Three essays on econometric analysis of financial models;Chou,1994

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