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Limit moves as censored observations of equilibrium futures price in garch processes
I. G. Morgan, R. G. Trevor
Department of Applied Finance
Research output
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Contribution to journal
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Article
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peer-review
14
Citations (Scopus)
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Dive into the research topics of 'Limit moves as censored observations of equilibrium futures price in garch processes'. Together they form a unique fingerprint.
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Mathematics
Censored Observations
92%
Market
47%
Conditional Heteroscedasticity
35%
Equity
33%
Volatility
26%
Expected Value
23%
Movement
23%
Likelihood Function
23%
Error term
23%
Maximise
22%
Time series
21%
Evaluate
18%
Simulation
14%
Performance
13%
Model
7%
Business & Economics
GARCH Process
100%
Futures Prices
71%
Generalized Autoregressive Conditional Heteroscedasticity
30%
Treasury Bill
29%
Equilibrium Price
24%
Expected Value
23%
Futures Markets
23%
Equity Markets
22%
Simulation
15%
Performance
9%
Social Sciences
futures market
40%
time series
24%
bill
21%
equity
18%
simulation
18%
market
13%
performance
10%