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

John C. Heaton, Masao Ogaki

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)167-171
Number of pages5
JournalEconomics Letters
Volume35
Issue number2
DOIs
Publication statusPublished - 1991 Feb
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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