## Abstract The authors explore the finite sample properties of the generalized autoregressive conditional heteroscedasticity (GARCH) option pricing model proposed by S. L. Heston and S. Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain su
✦ LIBER ✦
Finite sample properties of tests of the Epstein–Zin asset pricing model
✍ Scribed by David C. Smith
- Book ID
- 108432797
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 218 KB
- Volume
- 93
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
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