๐”– Bobbio Scriptorium
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Specification and Identification of Stochastic Demand Models

โœ Scribed by Beckert, Walter

Book ID
120407794
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
162 KB
Volume
26
Category
Article
ISSN
0747-4938

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## Abstract A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of