A Gibbs sampling approach to the estimation of linear regression models under daily price limits
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- 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.
- 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.
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- 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.
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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.
- Wei, K. C. John & Chiang, Raymond, 2004. "A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 445-461, September.
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