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A Gibbs sampling approach to the estimation of linear regression models under daily price limits

  • Chou, Pin-Huang
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 5 (1997)
    Issue (Month): 1 (February)
    Pages: 39-62

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    Handle: RePEc:eee:pacfin:v:5:y:1997:i:1:p:39-62
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    1. Harvey, Campbell R. & Zhou, Guofu, 1990. "Bayesian inference in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 26(2), pages 221-254, August.
    2. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
    3. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
    4. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
    5. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    6. Shanken, Jay, 1987. "A Bayesian approach to testing portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 19(2), pages 195-215, December.
    7. Kodres, Laura E, 1993. "Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity," The Journal of Business, University of Chicago Press, vol. 66(3), pages 464-90, July.
    8. 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.
    9. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
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