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Parametric models for partially adaptive estimation with skewed and leptokurtic residuals

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  • McDonald, James B.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 37 (1991)
Issue (Month): 3 (November)
Pages: 273-278

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Handle: RePEc:eee:ecolet:v:37:y:1991:i:3:p:273-278

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. Wang, Kai-Li & Fawson, Christopher B. & Barrett, Christopher B. & McDonald, James B., 1998. "A Flexible Parametric Garch Model With An Application To Exchange Rates," Economics Research Institute, ERI Study Papers 28355, Utah State University, Economics Department.
  2. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
  3. Fischer, Matthias J., 2002. "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers 46/2002, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  4. Fischer, Matthias J., 2000. "The Esscher-EGB2 option pricing model," Discussion Papers 31/2000, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  5. Fischer, Matthias J. & Horn, Armin & Klein, Ingo, 2003. "Tukey-type distributions in the context of financial data," Discussion Papers 52/2003, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  6. Fischer, Matthias J., 2000. "The folded EGB2 distribution and its application to financial return data," Discussion Papers 32/2000, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  7. Fischer, Matthias J. & Vaughan, David, 2002. "Classes of skew generalized hyperbolic secant distributions," Discussion Papers 45/2002, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  8. Fischer, Matthias J., 2003. "Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation," Discussion Papers 47/2003, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  9. Usta, Ilhan & Kantar, Yeliz Mert, 2011. "On the performance of the flexible maximum entropy distributions within partially adaptive estimation," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2172-2182, June.
  10. Blattenberger, Gail & Fowles, Richard, 1995. "Road closure to mitigate avalanche danger: a case study for Little Cottonwood Canyon," International Journal of Forecasting, Elsevier, vol. 11(1), pages 159-174, March.

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