This paper presents empirical evidence on the eectiveness of eight dierent parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a broad-based value weighted stock index are investigated for the period 1971Β±97. Several interesting results are documented. Ov
Empirical Implications of Alternative Models of Firm Dynamics
β Scribed by Ariel Pakes; Richard Ericson
- Book ID
- 112257746
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 461 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0022-0531
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