References for Journalarticle economics

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Number of references: 21

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31:307-321.

Bollerslev, T. (1987). A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. Review of Economics and Statistics, 69:542-547.

Bollerslev, T., Engle, R.F., and D.B. Nelson (1994). ARCH Models. In: Handbook of Econometrics,, ed. by R. F. Engle and D. L. McFadden, vol. IV, pp. 2959-3038, Amsterdam: Elsevier Science B. V.

Box, G.E.P., and Tiao, G.C. (1962). A Further Look at Robustness Via Bayes Theorem. Biometrika, 49:419-432.

Cox, D.R., and Hinkley, D.V. (1974). Theoretical Statistics. Chapman and Hall.

Engle, R. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflations. Econometrica, 50:987-1008.

Hansen, B.E. (1994). Autoregressive Conditional Density Estimation. International Economic Review, 35(3):705-730.

Hsieh, D.A., and Manski, C.F. (1987). Monte Carlo Evidence on Adaptive Maximum Likelihood Estimation of a Regression. Annals of Statistics, 15:541-551.

Johnson, N.L. (1949). Systems of Frequency Curves Generated by Methods of Translation. Biometrika, 36:149-176.

Johnson, N.L., Kotz, S., and Balakrishnan, N. (1994). Continuous Univariate Distributions. John Wiley & Sons, New York, vol. 1, Second ed.

McDonald, J., and Newey, W. (1988). Partially Adaptive Estimation of Regression Models Via the Generalized t Distribution. Econometric Theory, 4:428-457.

McDonald, J.B., and White, S.B. (1993). A Comparison of Some Robust, Adaptive, and Partially Adaptive Estimators of Regression Models. Econometric Reviews, 12(1):103-124.

McDonald, J.B., and Xu, Y.J. (1995). A Generalization of the Beta Distribution with Applications. Journal of Econometrics, 66:133-152.

Nelson, D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59:347-370.

Newey, W.K. (1988). Adaptive Estimation of Regression Models Via Moment Restrictions. Journal of Econometrics, 38:301-339.

Pagan, A., and Ullah, A. (1999). Nonparametric Econometrics. Cambridge University Press, Cambridge.

Ramirez, O.A. (2001). Autoregressive Conditional Heteroskedasticity under Error Term Non-Normality.

Ramirez, O.A., Misra, S., and Nelson, J. (2003). Efficient Estimation of Agricultural Time Series Models with Nonnormal Dependent Variables. American Journal of Agricultural Economics, 85(4):1029-1040.

Subbotin, M.T. (1923). On the Law of Frequency of Error. Mathematicheskii Sbornik, 31:296-301.

Theodossiou, P. (1998). Financial Data and the Skewed Generalized t Distribution. Management Science, 44:1650-1661.

Wang, K., Fawson, C., Barrett, C., and McDonald, J.B. (2001). A Flexible Parametric GARCH Model with an Application to Exchange Rates. Journal of Applied Econometrics, 16:521-526.