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Financial densities in emerging markets: an application of the multivariate ES density

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  • Mauleon, Ignacio
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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 4 (2003)
    Issue (Month): 2 (June)
    Pages: 197-223

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    Handle: RePEc:eee:ememar:v:4:y:2003:i:2:p:197-223

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    Web page: http://www.elsevier.com/locate/inca/620356

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    3. Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
    4. Zhou, Guofu, 1993. " Asset-Pricing Tests under Alternative Distributions," Journal of Finance, American Finance Association, vol. 48(5), pages 1927-42, December.
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    6. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
    7. Prucha, Ingmar R & Kelejian, Harry H, 1984. "The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances," Econometrica, Econometric Society, vol. 52(3), pages 721-36, May.
    8. Gallant, A.R. & Tauchen, G., 1988. "Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Papers 88-59, Chicago - Graduate School of Business.
    9. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
    10. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    11. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
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    13. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
    14. Fenton, Victor M & Gallant, A Ronald, 1996. "Convergence Rates of SNP Density Estimators," Econometrica, Econometric Society, vol. 64(3), pages 719-27, May.
    15. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
    16. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
    17. Fenton, Victor M & Gallant, A Ronald, 1996. "Erratum [Convergence Rates of SNP Density Estimators]," Econometrica, Econometric Society, vol. 64(6), pages 1493, November.
    18. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    19. Ball, Clifford A. & Roma, Antonio, 1993. "A jump diffusion model for the European monetary system," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 475-492, October.
    20. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    21. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
    22. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
    23. Sargan, J D, 1980. "Some Approximations to the Distribution of Econometric Criteria Which are Asymptotically Distributed as Chi-Squared," Econometrica, Econometric Society, vol. 48(5), pages 1107-38, July.
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