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.
ASJC Scopus subject areas
- Economics and Econometrics
Heaton, J. C., & Ogaki, M. (1991). Efficiency bound calculations for a time series model, with conditional heteroskedasticity. Economics Letters, 35(2), 167-171. https://doi.org/10.1016/0165-1765(91)90165-H