GARCH estimation and discrete stock prices: an application to low-priced Australian stocks

DOI10.1016/S0165-1765(03)00172-1zbMath1254.91630MaRDI QIDQ1927389

Henrik Amilon

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

latent variablescompass RoseEM estimationstock return modeling

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) Statistical methods; economic indices and measures (91B82)

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