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Effects of skewness and kurtosis on model selection criteria

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  • Baci, Sidika
  • Zaman, Asad

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File URL: http://www.sciencedirect.com/science/article/B6V84-3T51RH8-42/2/413347bbd699db81ab2ce849dfd9b5a7
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 59 (1998)
Issue (Month): 1 (April)
Pages: 17-22

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Handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:17-22

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

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  1. Zaman, A., 1984. "Avoiding model selection by the use of shrinkage techniques," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 73-85.
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Citations

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Cited by:
  1. Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, vol. 155(2), pages 284-298, June.
  2. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. repec:ebl:ecbull:v:3:y:2005:i:19:p:1-5 is not listed on IDEAS
  4. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
  5. Sýdýka Baþçý & Asad Zaman, 1998. "Variance Estimates and Model Selection," Departmental Working Papers 9814, Bilkent University, Department of Economics.
  6. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  7. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
  8. Loizos, Konstantinos & Thompson, John, 2001. "The Demand for Money in Greece 1962 to 1998," MPRA Paper 54035, University Library of Munich, Germany.
  9. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
  10. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.

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