Does the choice of news restrictions in GARCH based systematic risk measures matter?

Geoffrey Loudon

Research output: Contribution to journal › Article

Original language	English
Pages (from-to)	1-40
Number of pages	40
Journal	Macquarie Research in Accounting and Finance
Publication status	Published - 2005

Cite this

@article{a30f081446f84d548dd6b7955f9356e8,

title = "Does the choice of news restrictions in GARCH based systematic risk measures matter?",

author = "Geoffrey Loudon",

year = "2005",

language = "English",

pages = "1--40",

journal = "Macquarie Research in Accounting and Finance",

publisher = "Department of Accounting and Finance, Macquarie University",

}