Jonathan Dark

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

A Selectivity Corrected Time Varying Beta Estimator

Number of pages: 38 Posted: 23 Feb 2006
Monash University, Monash University, University of Queensland and RMIT University - School of Economics, Finance and Marketing
Downloads 229 (132,686)

Abstract:

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Time varying betas, GARCH, Censoring, Thin trading, Sample selectivity model