1. Estimation of stability index for symmetric $$\alpha $$ α -stable distribution using quantile conditional variance ratios. (2024). Wyomaska, Agnieszka ; Pitera, Marcin ; Jelito, Damian ; Pczek, Kewin.
   In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
   RePEc:spr:testjl:v:33:y:2024:i:1:d:10.1007_s11749-023-00894-7.

   Full description at Econpapers || Download paper

2. Goodness-of-fit test for $$\alpha$$ α -stable distribution based on the quantile conditional variance statistics. (2022). Pitera, Marcin ; Chechkin, Aleksei ; Wyomaska, Agnieszka.
   In: Statistical Methods & Applications.
   RePEc:spr:stmapp:v:31:y:2022:i:2:d:10.1007_s10260-021-00571-9.

   Full description at Econpapers || Download paper

3. A state space framework for the residual income valuation model of stock prices. (2021). Awwal, Faisal ; Bidarkota, Prasad V.
   In: SN Business & Economics.
   RePEc:spr:snbeco:v:1:y:2021:i:4:d:10.1007_s43546-021-00066-5.

   Full description at Econpapers || Download paper

4. Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2018). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x.

   Full description at Econpapers || Download paper

5. Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim.
   In: MPRA Paper.
   RePEc:pra:mprapa:75770.

   Full description at Econpapers || Download paper

6. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty. (2012). Perote, Javier ; Peel, David ; Paya, Ivan ; Guez, Trino-Manuel.
   In: Economics Letters.
   RePEc:eee:ecolet:v:115:y:2012:i:2:p:244-248.

   Full description at Econpapers || Download paper

7. Asset pricing in a Lucas fruit-tree economy with the best and worst in mind. (2012). Zimper, Alexander.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:36:y:2012:i:4:p:610-628.

   Full description at Econpapers || Download paper

8. On the stability of the CRRA utility under high degrees of uncertainty. (2011). Perote, Javier ; Peel, David ; Paya, Ivan ; Ñíguez Grau, Trino ; Niguez, T M.
   In: Working Papers.
   RePEc:lan:wpaper:615773.

   Full description at Econpapers || Download paper

9. On the stability of the CRRA utility under high degrees of uncertainty. (2011). Niguez, T M ; Perote, J ; Paya, Ivan ; Peel, David.
   In: Working Papers.
   RePEc:lan:wpaper:2585.

   Full description at Econpapers || Download paper

10. On the stability of the CRRA utility under high degrees of uncertainty. (2011). Perote, J ; Paya, Ivan ; Peel, D.
    In: Working Papers.
    RePEc:lan:wpaper:2360.

    Full description at Econpapers || Download paper

11. Pricing of the time-change risks. (2011). Tauchen, George ; Shaliastovich, Ivan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:6:p:843-858.

    Full description at Econpapers || Download paper

12. Estimation of stable distributions by indirect inference. (2006). Veredas, David ; Renault, Eric ; Garcia, René.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006112.

    Full description at Econpapers || Download paper

1. Andrews, D.W.K. Testing when a parameter is on the boundary of the maintained hypothesis. 2001 Econometrica. 69 683-734

2. Arrow, K.J. Essays in the Theory of Risk Bearing. 1971 North-Holland: Amsterdam
   Paper not yet in RePEc: Add citation now
   

3. Bansal, R. ; Yaron, A. Risks for the long run: a potential resolution of asset pricing puzzles. 2004 Journal of Finance. 59 1481-1509

4. Bidarkota, P.V. Alternative regime switching models for forecasting inflation. 2001 Journal of Forecasting. 20 21-35

5. Bidarkota, P.V. Do fluctuations in U.S. inflation rates reflect infrequent large shocks or frequent small shocks?. 2003 Review of Economics and Statistics. 85 765-771

6. Bidarkota, P.V. ; Dupoyet, B.V. The impact of fat tails on equilibrium rates of return and term premia. 2007 Journal of Economic Dynamics and Control. 31 887-905

7. Bidarkota, P.V. ; McCulloch, J.H. Consumption asset pricing with stable shocks: exploring a solution and its implications for mean equity returns. 2003 Journal of Economic Dynamics and Control. 27 399-421

8. Bidarkota, P.V. ; McCulloch, J.H. Optimal univariate inflation forecasting with symmetric stable shocks. 1998 Journal of Applied Econometrics. 13 659-670

9. Bidarkota, P.V. ; McCulloch, J.H. Testing for persistence in stock returns with GARCH-stable shocks. 2004 Quantitative Finance. 4 256-265

10. Brandt, M.W. ; Zeng, Q. ; Zhang, L. Equilibrium stock return dynamics under alternative rules of learning about hidden states. 2004 Journal of Economic Dynamics and Control. 28 1925-1954

11. Brennan, M.J. ; Xia, Y. Stock price volatility and equity premium. 2001 Journal of Monetary Economics. 47 249-283

12. Burnside, C. Solving asset pricing models with Gaussian shocks. 1998 Journal of Economic Dynamics and Control. 22 329-340

13. Carr, P. ; Wu, L. The finite moment log-stable process and option pricing. 2003 Journal of Finance. LVIII 753-777

14. David, A. Fluctuating confidence in stock markets: implications for returns and volatility. 1997 Journal of Financial and Quantitative Analysis. 32 427-462

15. Detemple, J.B. Asset pricing in a production economy with incomplete information. 1986 Journal of Finance. 41 383-391

16. Detemple, J.B. Further results on asset pricing with incomplete information. 1991 Journal of Economic Dynamics and Control. 15 425-453

17. Dothan, M.U. ; Feldman, D. Equilibrium interest rates and multiperiod bonds in a partially observable economy. 1986 Journal of Finance. 41 369-382

18. Durbin, J. ; Koopman, S.J. Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives. 2000 Journal of the Royal Statistical Society, Series B. 62 3-56

19. Epstein, L.G. ; Zin, S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework. 1989 Econometrica. 57 937-969

20. Epstein, L.G. ; Zin, S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: an empirical analysis. 1991 Journal of Political Economy. 99 263-268

21. Fama, E.F. ; French, K.R. Dividend yields and expected stock returns. 1988 Journal of Financial Economics. 22 3-25

22. Fama, E.F. ; French, K.R. Permanent and temporary components of stock prices. 1988 Journal of Political Economy. 96 246-273

23. Gennotte, G. Optimal portfolio choice under incomplete information. 1986 Journal of Finance. 41 733-746

24. Geweke, J. A note on some limitations of CRRA utility. 2001 Economics Letters. 71 341-345

25. Hansen, L.P. ; Singleton, K.J. Generalized instrumental variables estimation of nonlinear rational expectations models. 1982 Econometrica. 50 1269-1286

26. Harvey, A.C. Forecasting, Structural Time Series Models and the Kalman Filter. 1992 Cambridge University Press: Cambridge, UK
    Paper not yet in RePEc: Add citation now
    
27. Hill, B.M. A simple general approach to inference about the tail of a distribution. 1975 Annals of Statistics. 3 1163-1174
    Paper not yet in RePEc: Add citation now
    

28. Kearns, P. ; Pagan, A. Estimating the density tail index for financial time series. 1997 The Review of Economics and Statistics. 79 171-175

29. Kitagawa, G. Non-Gaussian state space modeling of nonstationary time series. 1987 Journal of the American Statistical Association. 82 1032-1063
    Paper not yet in RePEc: Add citation now
    

30. Kurz, M. ; Jin, H. ; Motolese, M. Determinants of stock market volatility and risk premia. 2006 Annals of Finance. 1 109-147

31. Lucas, R.E. Asset prices in an exchange economy. 1978 Econometrica. 46 1429-1445

32. Malik, F. ; Ewing, B.T. ; Payne, J.E. Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns. 2005 Canadian Journal of Economics. 38 1037-1056

33. Mandelbrot, B. The variation of certain speculative prices. 1963 Journal of Business. 36 394-419

34. McCulloch, J.H. Financial applications of stable distributions. 1996 En : . Elsevier: Amsterdam
    Paper not yet in RePEc: Add citation now
    
35. McCulloch, J.H. Measuring tail thickness in order to estimate the stable index α: a critique. 1997 Journal of Business and Economic Statistics. 15 74-81
    Paper not yet in RePEc: Add citation now
    

36. Mehra, R. ; Prescott, E.C. The equity premium: a puzzle. 1985 Journal of Monetary Economics. 15 145-161

37. Mittnik, S. ; Doganoglu, T. ; Chenyao, D. Computing the probability density function of the stable paretian distribution. 1999 Mathematical and Computer Modelling. 29 235-240
    Paper not yet in RePEc: Add citation now
    
38. Sorenson, H.W. ; Alspach, D.L. Recursive Bayesian estimation using Gaussian sums. 1971 Automatica. 7 465-479
    Paper not yet in RePEc: Add citation now
    

39. Tsiakas, I. Periodic stochastic volatility and fat tails. 2006 Journal of Financial Econometrics. 4 90-135

40. Veronesi, P. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. 1999 Review of Financial Studies. 12 975-1007

41. Veronesi, P., 2004. Belief dependent utilities, aversion to state uncertainty, and asset prices. Unpublished manuscript, GSB University of Chicago.
    Paper not yet in RePEc: Add citation now
    

42. Wu, L. Dampened power law: reconciling the tail behavior of financial security returns. 2006 Journal of Business. 79 1445-1474

1. Specification Testing in Hawkes Models. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20150086.

   Full description at Econpapers || Download paper

2. Just Luck: An Experimental Study of Risk-Taking and Fairness. (2013). Tungodden, Bertil ; Sørensen, Erik ; Konow, James ; Cappelen, Alexander ; Erik ?. S?rensen, .
   In: American Economic Review.
   RePEc:aea:aecrev:v:103:y:2013:i:4:p:1398-1413.

   Full description at Econpapers || Download paper

3. Preferences and Incentives of Appointed and Elected Public Officials: Evidence from State Trial Court Judges. (2013). Claire S. H. Lim, .
   In: American Economic Review.
   RePEc:aea:aecrev:v:103:y:2013:i:4:p:1360-97.

   Full description at Econpapers || Download paper

4. Testing lumpability for marginal discrete hidden Markov models. (2011). Giordano, Sabrina ; Colombi, Roberto.
   In: AStA Advances in Statistical Analysis.
   RePEc:spr:alstar:v:95:y:2011:i:3:p:293-311.

   Full description at Econpapers || Download paper

5. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests. (2011). Guggenberger, Patrik ; Cheng, Xu ; Andrews, Donald ; Donald W. K. Andrews, .
   In: Cowles Foundation Discussion Papers.
   RePEc:cwl:cwldpp:1813.

   Full description at Econpapers || Download paper

6. Dynamic Specification Tests for Static Factor Models. (2010). Sentana, Enrique ; Fiorentini, Gabriele.
   In: Working Paper series.
   RePEc:rim:rimwps:04_10.

   Full description at Econpapers || Download paper

7. Just luck: an experimental study of risk taking and fairness. (2010). Tungodden, Bertil ; Sørensen, Erik ; Konow, James ; Cappelen, Alexander.
   In: MPRA Paper.
   RePEc:pra:mprapa:24475.

   Full description at Econpapers || Download paper

8. Providing care for an elderly parent: interactions among siblings?. (2009). Gramain, Agnès ; Fontaine, Romeo ; Jerôme Wittwer, .
   In: Health Economics.
   RePEc:wly:hlthec:v:18:y:2009:i:9:p:1011-1029.

   Full description at Econpapers || Download paper

9. Monetary Policy When Wages Are Downwardly Rigid : Friedman Meets Tobin. (2009). Ruge-Murcia, Francisco ; Kim, Jinill.
   In: Cahiers de recherche.
   RePEc:mtl:montec:15-2009.

   Full description at Econpapers || Download paper

10. A re-examination of the stationarity of inflation. (2009). Cook, Steven.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:6:p:1047-1053.

    Full description at Econpapers || Download paper

11. On asymptotic theory for multivariate GARCH models. (2009). Hafner, Christian ; Preminger, Arie.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:100:y:2009:i:9:p:2044-2054.

    Full description at Econpapers || Download paper

12. Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models. (2009). Dufour, Jean-Marie ; Valery, Pascale.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:193-206.

    Full description at Econpapers || Download paper

13. Asset pricing with incomplete information and fat tails. (2009). McCulloch, J. Huston ; Bidarkota, Prasad ; DUPOYET, Brice V..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:6:p:1314-1331.

    Full description at Econpapers || Download paper

14. Dynamic Specification Tests for Static Factor Models. (2009). Sentana, Enrique ; Fiorentini, Gabriele.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2009_0912.

    Full description at Econpapers || Download paper

15. Dependence Structure and Extreme Comovements in International Equity and Bond Markets. (2009). Garcia, René ; Tsafack, Georges.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-21.

    Full description at Econpapers || Download paper

16. Mean-Variance Econometric Analysis of Household Portfolios. (2008). Miniaci, Raffaele ; Pastorello, Sergio.
    In: Working Papers.
    RePEc:ubs:wpaper:0807.

    Full description at Econpapers || Download paper

17. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons. (2008). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:16672.

    Full description at Econpapers || Download paper

18. Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons. (2008). Zakoian, Jean-Michel ; Francq, Christian.
    In: Working Papers.
    RePEc:crs:wpaper:2008-04.

    Full description at Econpapers || Download paper

19. Assessing the shape of the distribution of interest rates: lessons from French individual data.. (2008). Lacroix, R..
    In: Working papers.
    RePEc:bfr:banfra:206.

    Full description at Econpapers || Download paper

20. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model. (2007). Ooms, Marius ; Lucas, Andre ; Koopman, Siem Jan ; van Montfort, Kees ; André Lucas, ; van der Geest, Victor.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070027.

    Full description at Econpapers || Download paper

21. The trade off between time and money: Is there a difference between real and hypothetical choices?. (2007). Isacsson, Gunnar.
    In: Working Papers.
    RePEc:hhs:vtiwps:2007_003.

    Full description at Econpapers || Download paper

22. Modelling security market events in continuous time: Intensity based, multivariate point process models. (2007). Bowsher, Clive.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:876-912.

    Full description at Econpapers || Download paper

23. A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model. (2007). Nawata, Kazumitsu.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2007:i:54:p:1-10.

    Full description at Econpapers || Download paper

24. A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model. (2007). Nawata, Kazumitsu.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-07c20123.

    Full description at Econpapers || Download paper

25. The Limit of Finite-Sample Size and a Problem with Subsampling. (2007). Guggenberger, Patrik ; Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1605.

    Full description at Econpapers || Download paper

26. Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors. (2006). Stewart, Mark.
    In: Stata Journal.
    RePEc:tsj:stataj:v:6:y:2006:i:2:p:256-272.

    Full description at Econpapers || Download paper

27. Inference in GARCH when some coefficients are equal to zero. (2006). Zakoian, Jean-Michel ; Francq, Christian.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:64.

    Full description at Econpapers || Download paper

28. Sibling Death Clustering in India: State Dependence vs. Unobserved Heterogeneity. (2006). Bhalotra, Sonia ; Arulampalam, Wiji.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp2251.

    Full description at Econpapers || Download paper

29. Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities. (2006). Rosen, Adam.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:25/06.

    Full description at Econpapers || Download paper

30. Asymptotics for estimation and testing procedures under loss of identifiability. (2006). Zhu, Hongtu ; Zhang, Heping.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:97:y:2006:i:1:p:19-45.

    Full description at Econpapers || Download paper

31. A fast subsampling method for nonlinear dynamic models. (2006). Scaillet, Olivier ; Hong, Han.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:557-578.

    Full description at Econpapers || Download paper

32. Synchronization of cycles. (2006). pagan, adrian ; Harding, Don.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:59-79.

    Full description at Econpapers || Download paper

33. Regime switching for dynamic correlations. (2006). Pelletier, Denis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:445-473.

    Full description at Econpapers || Download paper

34. Estimation of copula-based semiparametric time series models. (2006). Chen, Xiaohong ; Fan, Yanqin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:2:p:307-335.

    Full description at Econpapers || Download paper

35. Testing for sign and amplitude asymmetries using threshold autoregressions. (2006). Fuertes, Ana-Maria ; Coakley, Jerry.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:4:p:623-654.

    Full description at Econpapers || Download paper

36. Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions. (2006). Schorfheide, Frank ; Moon, Hyungsik.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5605.

    Full description at Econpapers || Download paper

37. Time-Varying Quantiles. (2006). Harvey, Andrew ; de Rossi, Giuliano.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0649.

    Full description at Econpapers || Download paper

38. Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion. (2006). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-14.

    Full description at Econpapers || Download paper

39. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models. (2005). Bowsher, Clive ; Tyson, Christopher J..
    In: Economics Papers.
    RePEc:nuf:econwp:0526.

    Full description at Econpapers || Download paper

40. Testing for Volatility Jumps in the Stochastic Volatility Process. (2005). Kobayashi, Masahito.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:12:y:2005:i:2:p:143-157.

    Full description at Econpapers || Download paper

41. Doctor Who? Who Gets Admission Offers in UK Medical Schools. (2005). Smith, Jeremy ; Naylor, Robin ; Arulampalam, Wiji.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1775.

    Full description at Econpapers || Download paper

42. A parametric bootstrap test for cycles. (2005). Dalla, Violetta ; Hidalgo, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:219-261.

    Full description at Econpapers || Download paper

43. Exact tests of the stability of the Phillips curve: the Canadian case. (2005). Khalaf, Lynda ; Kichian, Maral.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:445-460.

    Full description at Econpapers || Download paper

44. Simulation-based finite-sample tests for heteroskedasticity and ARCH effects. (2004). Khalaf, Lynda ; Dufour, Jean-Marie ; Bernard, Jean-Thomas ; Genest, Ian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:122:y:2004:i:2:p:317-347.

    Full description at Econpapers || Download paper

45. Estimation of Copula-Based Semiparametric Time Series Models. (2004). Chen, Xiaohong ; Fan, Yanqin.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:559.

    Full description at Econpapers || Download paper

46. Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0411.

    Full description at Econpapers || Download paper

47. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models. (2003). Bowsher, Clive.
    In: Economics Papers.
    RePEc:nuf:econwp:0303.

    Full description at Econpapers || Download paper

48. Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression. (2003). Jonsson, Robert ; Petzold, Max.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0102.

    Full description at Econpapers || Download paper

49. Simulation-based exact jump tests in models with conditional heteroskedasticity. (2003). Khalaf, Lynda ; Bilodeau, Jean-Francois ; Saphores, Jean-Daniel.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2003:i:3:p:531-553.

    Full description at Econpapers || Download paper

50. Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models. (2002). Bowsher, Clive.
    In: Economics Papers.
    RePEc:nuf:econwp:0222.

    Full description at Econpapers || Download paper

Report date: 2025-10-01 13:15:19 || Missing content? Let us know