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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, Elsevier, vol. 25(1-2), pages 73-85.
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Cited by:
  1. Sýdýka Baþçý & Asad Zaman & Arzdar Kiracý, 2010. "Variance Estimates and Model Selection," International Econometric Review (IER), Econometric Research Association, Econometric Research Association, vol. 2(2), pages 57-72, September.
  2. Arie Preminger & Shinichi Sakata, 2007. "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(2), pages 294-319, 07.
  3. 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.
  4. repec:ebl:ecbull:v:3:y:2005:i:19:p:1-5 is not listed on IDEAS
  5. 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, Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
  6. 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.
  7. 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.
  8. E Bataa & D R Osborn & D H Kim, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 72, Economics, The Univeristy of Manchester.
  9. Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, Elsevier, vol. 155(2), pages 284-298, June.
  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.
  11. Loizos, Konstantinos & Thompson, John, 2001. "The Demand for Money in Greece 1962 to 1998," MPRA Paper 54035, University Library of Munich, Germany.

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