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Modeling daily price limits

. International Review of Financial Analysis, 8 (3): 283--301 (March 1999)

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Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading, , , and . International Review of Financial Analysis, 15 (4-5): 363--376 (2006)Modeling daily price limits. International Review of Financial Analysis, 8 (3): 283--301 (March 1999)Sources of contrarian profits in the Japanese stock market, , and . Journal of Empirical Finance, 14 (3): 261--286 (June 2007)