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Testing normality: a GMM approach

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Author Info
Bontemps, Christian
Meddahi, Nour
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File URL: http://www.sciencedirect.com/science/article/B6VC0-4CF5FY4-1/2/4fecb4735fe25bb429f5137c9efd90ba
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 124 (2005)
Issue (Month): 1 (January)
Pages: 149-186
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Handle: RePEc:eee:econom:v:124:y:2005:i:1:p:149-186

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  2. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO. [Downloadable!]
  3. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
  4. Stengos, T. & Wu, X., 2006. "Information-Theoretic Distribution Test With Application to Normality," Working Papers 2006-4, University of Guelph, Department of Economics. [Downloadable!]
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  5. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," ECARES Working Papers 2008_009, Université Libre de Bruxelles, Ecares. [Downloadable!]
  6. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
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  7. Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  8. Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics. [Downloadable!]
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