An Empirical Comparison of Price-Limit Models*
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-2443.2007.00063.x/fullpdf
Reference23 articles.
1. Generalized Autoregressive Conditional Heteroscedasticity;Bollerslev;Journal of Econometrics,1986
2. An Evaluation of Volatility Forecasting Techniques;Brailsford;Journal of Banking and Finance,1996
3. A Theory of Price Limits in the Futures Markets;Brennan;Journal of Financial Economics,1986
4. Price Limits, Overreaction, and Price Resolution in Futures Markets;Chen;Journal of Futures Markets,1998
5. Modeling Daily Price Limits;Chou;International Review of Financial Analysis,1999
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