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Estimation and testing in time-series regression models with heteroscedastic disturbances

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  • Cragg, J. G.

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  • Cragg, J. G., 1982. "Estimation and testing in time-series regression models with heteroscedastic disturbances," Journal of Econometrics, Elsevier, vol. 20(1), pages 135-157, October.
  • Handle: RePEc:eee:econom:v:20:y:1982:i:1:p:135-157
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    Cited by:

    1. Ender Su & Thomas W. Knowles, 2006. "Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(2), pages 18-62, April.
    2. Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series 904, CESifo Group Munich.
    3. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
    4. Ender Su & Thomas W. Knowles, 2006. "Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(2), pages 18-62, April.
    5. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, April.

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