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Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models

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  • Ming Liu
  • Harold Zhang
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    File URL: ftp://pareto.tepper.cmu.edu/pub/papers/dtemm.ps
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    Bibliographic Info

    Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 34.

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    Date of creation: Dec 1996
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    Handle: RePEc:cmu:gsiawp:34

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    Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
    Web page: http://www.tepper.cmu.edu/

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    Web: http://student-3k.tepper.cmu.edu/gsiadoc/GSIA_WP.asp

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    Cited by:
    1. Thomas Tallarini & Harold Zhang, . "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
    2. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
    3. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute.

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