T. Lee

Independent

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Scholarly Papers (1)

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On the Efficiency of Conditional Heteroskedasticity Models

Review of Quantitative Finance and Accounting, 10 (1998): 21-37
Posted: 31 Mar 2013
T. Lee and Tony S. Wirjanto
Independent and University of Waterloo - School of Accounting and Finance

Abstract:

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Financial time series, ARCH, non-normality, generalized method of moments, optimal choice of instruments, maximum likelihood, efficiency