Efficiency bound calculations for a time series model, with conditional heteroskedasticity

Efficiency bound calculations for a time series model, with conditional heteroskedasticity

This note presents an algorithm for calculating an efficiency bound among a class of estimators for a continous time financial economics model and a martingale taxation model.

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Veröffentlicht in:Economics letters 1991-01, Vol.35 (2), p.167-171
Hauptverfasser: Heaton, John C., Ogaki, Masao
Format: Artikel
Sprache:eng
Schlagworte:
Calculations
Time series
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Beschreibung
Zusammenfassung:This note presents an algorithm for calculating an efficiency bound among a class of estimators for a continous time financial economics model and a martingale taxation model.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(91)90165-H