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Partially Adaptive Estimation of Regression Models via the Generalized T Distribution

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Cited by:

  1. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
  2. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
  3. Fung, Thomas & Seneta, Eugene, 2010. "Extending the multivariate generalised t and generalised VG distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 154-164, January.
  4. Grottke, Martin, 1999. "Generierung schiefer Verteilungen mittels Skalenparametersplittung," Discussion Papers 30/1999, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  5. James B. McDonald & Hieu Nguyen, 2012. "Heteroskedasticity and Distributional Assumptions in the Censored Regression Model," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-09, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  6. Sukru Acitas & Pelin Kasap & Birdal Senoglu & Olcay Arslan, 2013. "One-step M -estimators: Jones and Faddy's skewed t -distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(7), pages 1545-1560, July.
  7. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW Kiel).
  8. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  9. Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe, 2024. "Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 271-304, January.
  10. Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020. "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper 100877, University Library of Munich, Germany.
  11. Müller K. & Richter W.-D., 2016. "Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, February.
  12. Chen, Tao & Tripathi, Gautam, 2017. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," Journal of Econometrics, Elsevier, vol. 198(1), pages 29-40.
  13. Randall A. Lewis & James B. McDonald, 2014. "Partially Adaptive Estimation of the Censored Regression Model," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 732-750, October.
  14. Ximing Wu & Thanasis Stengos, 2005. "Partially adaptive estimation via the maximum entropy densities," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 352-366, December.
  15. Jason Cook & James McDonald, 2013. "Partially Adaptive Estimation of Interval Censored Regression Models," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 119-131, June.
  16. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
  17. Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
  18. Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
  19. Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
  20. James B. McDonald & Daniel B. Walton & Bryan Chia, 2020. "Distributional Assumptions and the Estimation of Contingent Valuation Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 431-460, August.
  21. Ao Yuan & Jan G. De Gooijer, 2007. "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 841-869, December.
  22. C. James Hueng, 2006. "Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 707-716.
  23. repec:wyi:journl:002099 is not listed on IDEAS
  24. Arslan, Olcay, 2004. "Family of multivariate generalized t distributions," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 329-337, May.
  25. Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
  26. BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
  27. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
  28. Panayiotis Theodossiou & Christos S. Savva, 2016. "Skewness and the Relation Between Risk and Return," Management Science, INFORMS, vol. 62(6), pages 1598-1609, June.
  29. C. J. Adcock, 2005. "Exploiting skewness to build an optimal hedge fund with a currency overlay," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 445-462.
  30. Yiguo Sun & Thanasis Stengos, 2008. "The absolute health income hypothesis revisited: a semiparametric quantile regression approach," Empirical Economics, Springer, vol. 35(2), pages 395-412, September.
  31. Bruce E. Hansen, 2022. "A Modern Gauss–Markov Theorem," Econometrica, Econometric Society, vol. 90(3), pages 1283-1294, May.
  32. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
  33. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
  34. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
  35. Scott A. Carson & James B. McDonald, 2018. "Partially Adaptive Econometric Methods and the Modern Obesity Epidemic," CESifo Working Paper Series 7058, CESifo.
  36. Toshiaki Watana, 2000. "Excess kurtosis of conditional distribution for daily stock returns: the case of Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 7(6), pages 353-355.
  37. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  38. Ramirez, Octavio A., 2001. "Autoregressive Conditional Heteroskedasticy Under Error-Term Non-Normality," 2001 Annual meeting, August 5-8, Chicago, IL 20595, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  39. Ramirez, Octavio A. & Misra, Sukant K. & Nelson, Jeannie, 2002. "Estimation Of Efficient Regression Models For Applied Agricultural Economics Research," 2002 Annual meeting, July 28-31, Long Beach, CA 19904, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  40. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
  41. Deschamps, Philippe J., 2011. "Bayesian estimation of an extended local scale stochastic volatility model," Journal of Econometrics, Elsevier, vol. 162(2), pages 369-382, June.
  42. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
  43. Yuancheng Si & Saralees Nadarajah, 2023. "A Statistical Analysis of Chinese Stock Indices Returns From Approach of Parametric Distributions Fitting," Annals of Data Science, Springer, vol. 10(1), pages 73-88, February.
  44. Kun Jiang & Susheng Wang, 2024. "Survival tactics for distressed firms in emerging markets," Asia Pacific Journal of Management, Springer, vol. 41(2), pages 823-866, June.
  45. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
  46. Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
  47. Tao Chen & Gautam Tripathi, 2013. "Testing conditional symmetry without smoothing," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 273-313, June.
  48. Klein, Ingo & Fischer, Matthias J., 2003. "Skewness by splitting the scale parameter," Discussion Papers 55/2003, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  49. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
  50. Ruijie Guan & Xu Zhao & Weihu Cheng & Yaohua Rong, 2021. "A New Generalized t Distribution Based on a Distribution Construction Method," Mathematics, MDPI, vol. 9(19), pages 1-36, September.
  51. Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
  52. Lee, Jungyoon & Robinson, Peter M., 2020. "Adaptive inference on pure spatial models," Journal of Econometrics, Elsevier, vol. 216(2), pages 375-393.
  53. Mendes, Beatriz Vaz de Melo & Arslan, Olcay, 2006. "Multivariate Skew Distributions Based on the GT-Copula," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
  54. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
  55. Arnab Maity & Michael Sherman, 2008. "On adaptive linear regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(12), pages 1409-1422.
  56. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 133-152.
  57. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  58. Meade, Nigel, 2010. "Oil prices -- Brownian motion or mean reversion? A study using a one year ahead density forecast criterion," Energy Economics, Elsevier, vol. 32(6), pages 1485-1498, November.
  59. Harvey, Andew & Liao, Yin, 2023. "Dynamic Tobit models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 72-83.
  60. Peter M Robinson, 2009. "Developments in the Analysis of Spatial Data," STICERD - Econometrics Paper Series 531, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  61. Lee Anthony & Caron Francois & Doucet Arnaud & Holmes Chris, 2012. "Bayesian Sparsity-Path-Analysis of Genetic Association Signal using Generalized t Priors," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 11(2), pages 1-31, January.
  62. Klein, Ingo, 2011. "Van Zwet ordering for Fechner asymmetry," FAU Discussion Papers in Economics 08/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  63. Ramirez, Octavio A. & Fadiga, Mohamadou L., 2003. "Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(1), pages 1-15, April.
  64. Stephen Chan & Jeffrey Chu & Saralees Nadarajah & Joerg Osterrieder, 2017. "A Statistical Analysis of Cryptocurrencies," JRFM, MDPI, vol. 10(2), pages 1-23, May.
  65. J V Hansen & J B McDonald & R D Nelson, 2006. "Some evidence on forecasting time-series with support vector machines," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(9), pages 1053-1063, September.
  66. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198.
  67. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
  68. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  69. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
  70. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.
  71. Tata Subba Rao & Granville Tunnicliffe Wilson & P. M. Robinson & L. Taylor, 2017. "Adaptive Estimation in Multiple Time Series With Independent Component Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 191-203, March.
  72. Haoying Wang, 2018. "Pricing used books on Amazon.com: a spatial approach to price dispersion," Spatial Economic Analysis, Taylor & Francis Journals, vol. 13(1), pages 99-117, January.
  73. Kim, Suk-Joong & Kortian, Tro & Sheen, Jeffrey, 2000. "Central bank intervention and exchange rate volatility -- Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 381-405, December.
  74. Turan G. Bali & Lin Peng, 2006. "Is there a risk–return trade‐off? Evidence from high‐frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198, December.
  75. Usta, Ilhan & Kantar, Yeliz Mert, 2011. "On the performance of the flexible maximum entropy distributions within partially adaptive estimation," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2172-2182, June.
  76. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 70-77.
  77. Renan O. Regis & Raydonal Ospina & Wilton Bernardino & Francisco Cribari-Neto, 2023. "Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling," Empirical Economics, Springer, vol. 64(5), pages 2373-2409, May.
  78. Kerman, Sean C. & McDonald, James B., 2013. "Skewness–kurtosis bounds for the skewed generalized T and related distributions," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2129-2134.
  79. Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
  80. McDonald, James B. & Xu, Yexiao J., 1996. "A comparison of semi-parametric and partially adaptive estimators of the censored regression model with possibly skewed and leptokurtic error distributions," Economics Letters, Elsevier, vol. 51(2), pages 153-159, May.
  81. Rui Li & Saralees Nadarajah, 2020. "A review of Student’s t distribution and its generalizations," Empirical Economics, Springer, vol. 58(3), pages 1461-1490, March.
  82. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
  83. Sikora, Grzegorz & Michalak, Anna & Bielak, Łukasz & Miśta, Paweł & Wyłomańska, Agnieszka, 2019. "Stochastic modeling of currency exchange rates with novel validation techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1202-1215.
  84. Gupta, A, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 15619, University of Essex, Department of Economics.
  85. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  86. Eric Auerbach, 2019. "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers 1903.09679, arXiv.org, revised Jun 2021.
  87. Harvey, Andrew & Ito, Ryoko, 2020. "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, vol. 214(1), pages 33-45.
  88. James Hansen & James McDonald & Panayiotis Theodossiou & Brad Larsen, 2010. "Partially Adaptive Econometric Methods For Regression and Classification," Computational Economics, Springer;Society for Computational Economics, vol. 36(2), pages 153-169, August.
  89. James S. Allison & Charl Pretorius, 2017. "A Monte Carlo evaluation of the performance of two new tests for symmetry," Computational Statistics, Springer, vol. 32(4), pages 1323-1338, December.
  90. Scott Alan Carson & Wael M. Al-Sawai & Scott A. Carson, 2023. "Partially Adaptive Econometric Methods and Vertically Integrated Majors in the Oil and Gas Industry," CESifo Working Paper Series 10733, CESifo.
  91. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
  92. Steven Caudill & James Long, 2010. "Do former athletes make better managers? Evidence from a partially adaptive grouped-data regression model," Empirical Economics, Springer, vol. 39(1), pages 275-290, August.
  93. Chee, Chew-Seng & Seo, Byungtae, 2020. "Semiparametric estimation for linear regression with symmetric errors," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
  94. Katherine G. Yewell & Steven B. Caudill & Franklin G. Mixon, Jr., 2014. "Referee Bias and Stoppage Time in Major League Soccer: A Partially Adaptive Approach," Econometrics, MDPI, vol. 2(1), pages 1-19, February.
  95. Ivanović, Blagoje & Milošević, Bojana & Obradović, Marko, 2020. "Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  96. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
  97. Jeffrey Chu & Saralees Nadarajah & Stephen Chan, 2015. "Statistical Analysis of the Exchange Rate of Bitcoin," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
  98. Klein, Ingo, 2011. "Van Zwet ordering and the Ferreira-Steel family of skewed distributions," FAU Discussion Papers in Economics 13/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  99. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
  100. Higbee, Joshua D. & McDonald, James B., 2024. "A comparison of the GB2 and skewed generalized log-t distributions with an application in finance," Journal of Econometrics, Elsevier, vol. 240(2).
  101. Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
  102. Van Tran, Quang & Kukal, Jaromir, 2024. "Renyi entropy based design of heavy tailed distribution for return of financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  103. Steven Caudill, 2012. "A partially adaptive estimator for the censored regression model based on a mixture of normal distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(2), pages 121-137, June.
  104. Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
  105. Luca Bagnato & Valerio Potì & Maria Zoia, 2015. "The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns," Statistical Papers, Springer, vol. 56(4), pages 1205-1234, November.
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  107. Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
  108. Bönte, G., 1995. "Evaluierung adaptiver Hochrechnungsverfahren," Discussion Papers 05/1995, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  109. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
  110. Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.
  111. H. He & W. Wang & J. Hu & R. Gallop & P. Crits-Christoph & Y. Xia, 2015. "Distribution-free inference of zero-inflated binomial data for longitudinal studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(10), pages 2203-2219, October.
  112. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
  113. Panayiotis Theodossiou, 2015. "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, Multinational Finance Journal, vol. 19(4), pages 223-266, December.
  114. McDonald, James & Stoddard, Olga & Walton, Daniel, 2018. "On using interval response data in experimental economics," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 72(C), pages 9-16.
  115. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  116. Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios, 2015. "Flexible statistical models: Methods for the ordering and comparison of theoretical distributions," MPRA Paper 63620, University Library of Munich, Germany.
  117. Chan Jennifer So Kuen & Ng Kok-Haur & Nitithumbundit Thanakorn & Peiris Shelton, 2019. "Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-22, April.
  118. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
  119. Liang Yang & Zhengxiao Li & Shengwang Meng, 2020. "Risk Loadings in Classification Ratemaking," Papers 2002.01798, arXiv.org, revised Jan 2022.
  120. Wang, Joanna J.J., 2012. "On asymmetric generalised t stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(11), pages 2079-2095.
  121. Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
  122. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 195-202.
  123. De Gooijer, Jan G. & Reichardt, Hugo, 2021. "A multi-step kernel–based regression estimator that adapts to error distributions of unknown form," LSE Research Online Documents on Economics 115083, London School of Economics and Political Science, LSE Library.
  124. Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
  125. Deschamps, Philippe J., 2011. "Bayesian estimation of an extended local scale stochastic volatility model," Journal of Econometrics, Elsevier, vol. 162(2), pages 369-382, June.
  126. Steven J. Cochran & Iqbal Mansur & Babatunde Odusami, 2016. "Conditional higher order moments in metal asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 151-167, January.
  127. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
  128. James B. McDonald & Richard A. Michelfelder & Panayiotis Theodossiou, 2009. "Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application," Multinational Finance Journal, Multinational Finance Journal, vol. 13(3-4), pages 293-321, September.
  129. Peter M Robinson, 2007. "Efficient Estimation of the SemiparametricSpatial Autoregressive Model," STICERD - Econometrics Paper Series 515, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  130. Xu, Xingbai & Lee, Lung-fei, 2015. "Maximum likelihood estimation of a spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, vol. 188(1), pages 264-280.
  131. Steven B. Caudill & James E. Long & Franklin G. Mixon, 2012. "Female athletic participation and income: evidence from a latent class model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(3), pages 477-488, June.
  132. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
  133. James Mcdonald & Richard Michelfelder & Panayiotis Theodossiou, 2010. "Robust estimation with flexible parametric distributions: estimation of utility stock betas," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 375-387.
  134. Hansen, James V. & McDonald, James B. & Turley, Robert S., 2006. "Partially adaptive robust estimation of regression models and applications," European Journal of Operational Research, Elsevier, vol. 170(1), pages 132-143, April.
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