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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics letters
29
(
2022
)
2
,
pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
Saved in:
2
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
3
Right tail information and asset pricing
Hua, Qiuling
;
Xiao, Zhijie
;
Zhou, Hongtao
- In:
Econometric reviews
40
(
2021
)
8
,
pp. 728-749
Persistent link: https://www.econbiz.de/10012624536
Saved in:
4
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif
;
Kabir, M. Humayun
;
Dempsey, Michael
; …
- In:
Applied economics letters
27
(
2020
)
3
,
pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
Saved in:
5
A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
Mazzeu, João Henrique Gonçalves
;
González-Rivera, Gloria
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 971-990
Persistent link: https://www.econbiz.de/10012406197
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6
Decomposing joint distributions via reweighting functions : an application to intergenerational economic mobility
Richey, Jeremiah
;
Rosburg, Alicia
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 541-558
Persistent link: https://www.econbiz.de/10012195419
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7
Size distributions reconsidered
Schluter, Christian
;
Trede, Mark
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 695-710
Persistent link: https://www.econbiz.de/10012181347
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8
Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 228-246
Persistent link: https://www.econbiz.de/10012038592
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9
A Laplace stochastic frontier model
Horrace, William C.
;
Parmeter, Christopher F.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 260-280
Persistent link: https://www.econbiz.de/10012038621
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10
Conditional density forecast of China's energy demand via QRNN model
Cao, Shubo
;
Xu, Qifa
;
Jiang, Cuixia
;
He, Yaoyao
- In:
Applied economics letters
25
(
2018
)
12
,
pp. 867-875
Persistent link: https://www.econbiz.de/10012130465
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11
Skewed background risks and higher-order risk preferences : prudent versus temperate behavior
Mayrhofer, Thomas
- In:
Applied economics letters
24
(
2017
)
4/6
,
pp. 338-341
Persistent link: https://www.econbiz.de/10011704626
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12
Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
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13
Uncertainty, information, and disagreement of economic forecasters
Shoja, Mehdi
;
Soofi, Ehsan S.
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 796-817
Persistent link: https://www.econbiz.de/10011795499
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14
Combination forecasts of tourism demand with machine learning models
Claveria, Oscar
;
Monte, Enric
;
Torra, Salvador
- In:
Applied economics letters
23
(
2016
)
4/6
,
pp. 428-431
Persistent link: https://www.econbiz.de/10011430763
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15
Particle learning for fat-tailed distributions
Lopes, Hedibert Freitas
;
Polson, Nicholas G.
- In:
Econometric reviews
35
(
2016
)
8/10
,
pp. 1666-1691
Persistent link: https://www.econbiz.de/10011592384
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16
Model stability and forecast performance of Beta-t-EGARCH
Blazsek, Szabolcs
;
Chavez, Helmuth
;
Mendez, Carlos
- In:
Applied economics letters
23
(
2016
)
16/18
,
pp. 1219-1223
Persistent link: https://www.econbiz.de/10011701871
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17
Extreme value analysis of electricity demand in the UK
Chan, Stephen
;
Nadarajah, Saralees
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714
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18
Dynamic hedging in stock index futures via copula multiplicative error model
Chen, Wen-Chin
;
Liu, Kai-ping
;
Yang, Yung-lieh
;
Lai, Yi-hao
- In:
Applied economics letters
21
(
2014
)
10/12
,
pp. 801-805
Persistent link: https://www.econbiz.de/10010416262
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19
DSGE models with student-t errors
Chib, Siddhartha
;
Ramamurthy, Srikanth
- In:
Econometric reviews
33
(
2014
)
1/4
,
pp. 152-171
Persistent link: https://www.econbiz.de/10010358321
Saved in:
20
On some optimal Bayesian nonparametric rules for estimating distribution functions
Ruggeri, Fabrizio
- In:
Econometric reviews
33
(
2014
)
1/4
,
pp. 289-304
Persistent link: https://www.econbiz.de/10010359801
Saved in:
21
Adaptive percolation using subjective likelihoods
Singpurwalla, Nozer D.
- In:
Econometric reviews
33
(
2014
)
1/4
,
pp. 379-394
Persistent link: https://www.econbiz.de/10010360881
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22
Uniform distributions on the integers : a connection to the Bernouilli random walk
Kadane, Joseph B.
;
Jin, Jiashun
- In:
Econometric reviews
33
(
2014
)
1/4
,
pp. 372-378
Persistent link: https://www.econbiz.de/10010360985
Saved in:
23
On sample skewness and kurtosis
Bao, Yong
- In:
Econometric reviews
32
(
2013
)
1/4
,
pp. 415-448
Persistent link: https://www.econbiz.de/10009717785
Saved in:
24
The accuracy of graphs to describe size distributions
González-Val, Rafael
;
Ramos, Arturo
;
Sanz, Fernando
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1580-1585
Persistent link: https://www.econbiz.de/10010221683
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25
Marginal or copula : which one is critical?
Choi, Pilsun
;
Min, Insik
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1462-1465
Persistent link: https://www.econbiz.de/10010213173
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26
Log-normal approximation of the equity premium in the production model
Heer, Burkhard
;
Maußner, Alfred
- In:
Applied economics letters
19
(
2012
)
4/6
,
pp. 407-412
Persistent link: https://www.econbiz.de/10009630716
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27
On the characteristic function for asymmetric exponential power distributions
Nadarajah, Saralees
;
Teimouri, Mahdi
- In:
Econometric reviews
31
(
2012
)
4/6
,
pp. 475-481
Persistent link: https://www.econbiz.de/10009539723
Saved in:
28
On the probability of winning a lottery with a random number of competitors
Hogan, Seamus D.
;
Meriluoto, Laura
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1765-1768
Persistent link: https://www.econbiz.de/10009383295
Saved in:
29
Bank insolvency risk and Z-score measures with unimodal returns
Strobel, Frank
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1683-1685
Persistent link: https://www.econbiz.de/10009383375
Saved in:
30
Minimum divergence, generalized empirical likelihoods, and higher order expansions
Ragusa, Giuseppe
- In:
Econometric reviews
30
(
2011
)
4
,
pp. 406-456
Persistent link: https://www.econbiz.de/10009130239
Saved in:
31
Gamma unobserved heterogeneity and duration bias
Børing, Pål
- In:
Econometric reviews
29
(
2010
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003943392
Saved in:
32
On deconvolution as a first stage nonparametric estimator
Hu, Yingyao
;
Ridder, Geert
- In:
Econometric reviews
29
(
2010
)
4
,
pp. 365-396
Persistent link: https://www.econbiz.de/10003978815
Saved in:
33
Information-theoretic distribution test with application to normality
Stengos, Thanasēs
;
Wu, Ximing
- In:
Econometric reviews
29
(
2010
)
3
,
pp. 307-329
Persistent link: https://www.econbiz.de/10003965139
Saved in:
34
Pairwise likelihood inference for general state space models
Varin, Cristiano
;
Vidoni, Paolo
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 170-185
Persistent link: https://www.econbiz.de/10003800719
Saved in:
35
Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution
Haas, Markus
- In:
Applied economics letters
16
(
2009
)
10/12
,
pp. 1277-1283
Persistent link: https://www.econbiz.de/10003886839
Saved in:
36
A simple IM test for exponential distributions
Acosta, Pablo
;
Rojas, Gabriel Montes
- In:
Applied economics letters
16
(
2009
)
1/3
,
pp. 109-112
Persistent link: https://www.econbiz.de/10003822613
Saved in:
37
Zipf's law and world income distribution
Furceri, Davide
- In:
Applied economics letters
15
(
2008
)
10/12
,
pp. 921-923
Persistent link: https://www.econbiz.de/10003785858
Saved in:
38
Normal log-normal mixture, leptokurtosis and skewness
Yang, Minxian
- In:
Applied economics letters
15
(
2008
)
7/9
,
pp. 737-742
Persistent link: https://www.econbiz.de/10003741693
Saved in:
39
Inverse Gaussian random variables with application to price indices
Nadarajah, Saralees
;
Kotz, Samuel
- In:
Applied economics letters
14
(
2007
)
7/9
,
pp. 673-677
Persistent link: https://www.econbiz.de/10003512306
Saved in:
40
Testing for state dependence with time-variant transition probabilities
Halliday, Timothy J.
- In:
Econometric reviews
26
(
2007
)
6
,
pp. 685-703
Persistent link: https://www.econbiz.de/10003605821
Saved in:
41
Assessing the precision of turning point estimates in polynomial regression functions
Plassmann, Florenz
;
Khanna, Neha
- In:
Econometric reviews
26
(
2007
)
5
,
pp. 503-528
Persistent link: https://www.econbiz.de/10003549303
Saved in:
42
The mean squared error of the instrumental variables estimator when the disturbance has an elliptical distribution
Peixe, Fernanda P. M.
;
Hall, Alastair R.
;
Kyriakoulis, …
- In:
Econometric reviews
25
(
2006
)
1
,
pp. 117-138
Persistent link: https://www.econbiz.de/10003309365
Saved in:
43
Logit models : smallest versus largest extreme value error distributions
Hu, Wuyang
- In:
Applied economics letters
12
(
2005
)
12
,
pp. 741-744
Persistent link: https://www.econbiz.de/10003158116
Saved in:
44
A note on return distribution of UK stock indices
Balaban, Ercan
;
Ouenniche, Jamal
;
Politou, Danae
- In:
Applied economics letters
12
(
2005
)
9
,
pp. 573-576
Persistent link: https://www.econbiz.de/10003015769
Saved in:
45
Stochastic production frontier and technical inefficiency : a sensitivity analysis
Baccouche, Rafiq
;
Kouki, Mokhtar
- In:
Econometric reviews
22
(
2003
)
1
,
pp. 79-91
Persistent link: https://www.econbiz.de/10001749356
Saved in:
46
The city as a giant component : a random graph approach to Zipf's law
Kali, Raja
- In:
Applied economics letters
10
(
2003
)
11
,
pp. 717-720
Persistent link: https://www.econbiz.de/10001820280
Saved in:
47
Bootstrapping the conditional moment test for parametric duration models
Prieger, James E.
- In:
Applied economics letters
10
(
2003
)
10
,
pp. 597-600
Persistent link: https://www.econbiz.de/10001801894
Saved in:
48
Speculative processes and stable distributions : some simulation results
Charemza, Wojciech
;
Kominek, Zbigniew
- In:
Applied economics letters
10
(
2003
)
2
,
pp. 69-72
Persistent link: https://www.econbiz.de/10001747229
Saved in:
49
Data-driven nonparametric spectral density estimators for economic time series : a Monte Carlo study
Birgean, Ionel
;
Kilian, Lutz
- In:
Econometric reviews
21
(
2002
)
4
,
pp. 449-476
Persistent link: https://www.econbiz.de/10001718225
Saved in:
50
A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators
Hahn, Jinyong
;
Inoue, Atsushi
- In:
Econometric reviews
21
(
2002
)
3
,
pp. 309-336
Persistent link: https://www.econbiz.de/10001718757
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