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On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models

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  • Spanos, Aris

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 02 (June)
Pages: 286-315

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Handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:286-315_00

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Cited by:
  1. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
  2. Caporale, Guglielmo Maria & Pittis, Nikitas, 1996. "Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails," Economic Modelling, Elsevier, vol. 13(1), pages 1-14, January.
  3. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute.
  4. Hatzipanayotou, Panos & Sajal Lahiri & Michael S.Michael, 2002. "Reforms of Environmental Policies in the presence of Cross-border Pollution and Two-stage Clean-up," Royal Economic Society Annual Conference 2002 97, Royal Economic Society.
  5. Panos Pashardes & Soteroula Hajispyrou, 2002. "Consumer Demand and Welfare under Increasing Block Pricing," University of Cyprus Working Papers in Economics 0207, University of Cyprus Department of Economics.
  6. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
  7. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics.
  8. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns," Journal of Policy Modeling, Elsevier, vol. 20(5), pages 581-601, October.
  9. Spanos, Aris, 1995. "On theory testing in econometrics : Modeling with nonexperimental data," Journal of Econometrics, Elsevier, vol. 67(1), pages 189-226, May.
  10. J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
  11. Shuangzhe Liu & Chris Heyde & Wing-Keung Wong, 2011. "Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models," Statistical Papers, Springer, vol. 52(3), pages 621-632, August.
  12. Jiro Hodoshima, 2004. "On weak exogeneity of the student's t and elliptical linear regression models," Econometric Society 2004 Far Eastern Meetings 601, Econometric Society.

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