A censored-GARCH model of asset returns with price limits

Research output: Journal article publicationJournal articleAcademic researchpeer-review

22 Citations (Scopus)

Abstract

As one type of market circuit breaker, price limits have been imposed on many stock and futures markets. This paper proposes a censored-GARCH model for the return process of assets with price limits and develops a Bayesian approach to this model. The worthiness of the model and the estimation method is demonstrated with an application to Treasury bill futures over a period of high volatility and frequent limit moves.
Original languageEnglish
Pages (from-to)197-223
Number of pages27
JournalJournal of Empirical Finance
Volume9
Issue number2
DOIs
Publication statusPublished - 11 Mar 2002
Externally publishedYes

Keywords

  • Censored-GARCH model
  • Griddy Gibbs sampler-data augmentation
  • Price limits

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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