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GARCH estimation and discrete stock prices: an application to low-priced Australian stocks

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  • Amilon, Henrik
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 81 (2003)
    Issue (Month): 2 (November)
    Pages: 215-222

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    Handle: RePEc:eee:ecolet:v:81:y:2003:i:2:p:215-222

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    1. Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, Elsevier, vol. 22(12), pages 1559-1569, December.
    2. Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.
    3. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
    4. Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 26-91, Wharton School - Weiss Center for International Financial Research.
    5. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(1), pages 1-18, January.
    6. Gleason, Kimberly C. & Lee, Chun I. & Mathur, Ike, 2000. "An explanation for the compass rose pattern," Economics Letters, Elsevier, Elsevier, vol. 68(2), pages 127-133, August.
    7. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, Econometric Society, vol. 66(5), pages 1127-1162, September.
    8. M. F. Omran & E. McKenzie, 2000. "Heteroscedasticity in stock returns data revisited: volume versus GARCH effects," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(5), pages 553-560.
    9. Morgan, I G & Trevor, R G, 1999. "Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(4), pages 397-408, October.
    10. Joel Hasbrouck, 1999. "The Dynamics of Discrete Bid and Ask Quotes," Journal of Finance, American Finance Association, American Finance Association, vol. 54(6), pages 2109-2142, December.
    11. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    12. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 40(1), pages 85-106.
    13. Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 11(2), pages 215-222, June.
    14. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, Elsevier, vol. 34(1-2), pages 5-32.
    15. Wang, Huaiqing & Wang, Chen, 2002. "Visibility of the compass rose in financial asset returns: A quantitative study," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(6), pages 1099-1111, June.
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    Cited by:
    1. repec:knz:cofedp:0606 is not listed on IDEAS
    2. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
    3. Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(12), pages 3519-3524, December.
    4. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, 06.

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