Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach

C-Tier

Journal: Journal of Empirical Finance

Year: 1998

Volume: 5

Issue: 2

Pages: 99-129

Authors (2)

Holt, Matthew T. Aradhyula, Satheesh V. (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count