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Modeling daily price limits

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  • Chou, Pin-Huang

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  • Chou, Pin-Huang, 1999. "Modeling daily price limits," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 283-301, March.
    • Handle: RePEc:eee:finana:v:8:y:1999:i:3:p:283-301
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    References listed on IDEAS

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    1. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    2. Ma, C.K. & Rao, R.P. & Sears, R.S., 1989. "Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t7, Columbia - Center for Futures Markets.
    3. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
    4. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    5. Chen, Yea-Mow, 1993. "Price limits and stock market volatility in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 139-153, May.
    6. Seung‐Ryong Yang & B. Wade Brorsen, 1995. "Price limits as an explanation of thin‐tailedness in pork bellies futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(1), pages 45-59, February.
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    Citations

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    Cited by:

    1. Chou, Pin-Huang & Li, Wen-Shen & Lin, Jun-Biao & Wang, Jane-Sue, 2006. "Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 363-376.
    2. K. Smimou, 2013. "On the significance testing of fuzzy regression applied to the CAPM: Canadian commodity futures evidence," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 5(2), pages 144-171.
    3. Smimou, Kamal, 2006. "Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach," Omega, Elsevier, vol. 34(5), pages 477-491, October.
    4. Jin, Shaorong & Zhou, Chaobo & Peng, Huan, 2023. "Does price limit reduce stock price volatility on the limit up and down day?," Finance Research Letters, Elsevier, vol. 58(PA).
    5. Arie Harel & Giora Harpaz & Joseph Yagil, 2005. "Forecasting futures returns in the presence of price limits," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(2), pages 199-210, February.
    6. Chou, Pin-Huang & Chou, Robin K. & Ko, Kuan-Cheng & Chao, Chun-Yi, 2013. "What affects the cool-off duration under price limits?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 256-278.
    7. Huang, Ho-Chuan (River), 2003. "Tests of regime-switching CAPM under price limits," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 305-326.
    8. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.
    9. Tamir Levy & Joseph Yagil, 2006. "An Empirical Comparison of Price‐Limit Models," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 157-176, September.
    10. Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.

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