A conditional distribution model for limited stock index returns

DOI10.1016/j.jedc.2006.01.003zbMath1163.91529OpenAlexW2051982607MaRDI QIDQ1017000

Ralph Friedmann, Walter G. Sanddorf-Köhle

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.01.003

zbMATH Keywords

GARCHbeta distributionprice limitsmixed distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (1)

Do price limits help control stock price volatility?

Cites Work

• Remarks on a Multivariate Transformation
• Unnamed Item
• Unnamed Item

This page was built for publication: A conditional distribution model for limited stock index returns