References

This folder holds the following references to publications, sorted by year and author.

There are 27 references in this bibliography folder.

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

Ramirez, O (2001).
Autoregressive Conditional Heteroskedasticity under Error Term Non-Normality
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Wang, KL, Fawson, C, Barrett, C, and McDonald, J (2001).
A Flexible Parametric GARCH Model with an Application to Exchange Rates
Journal of Applied Econometrics, 16:521-526.

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

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

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

Bollerslev, T, Engle, R, 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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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PhD thesis.

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PhD thesis.