Bidarkota, P.V. (in press),`Do fluctuations in U.S. inflation rates reflect infrequent large shocks or frequent small shocks?, The Review of Economics and Statistics. Bidarkota, P.V. and J.H. McCulloch (1998),`Optimal univariate inflation forecasting with symmetric stable shocks, Journal of Applied Econometrics, Vol.13, No.6, 659-670.
Bidarkota, P.V. and J.H. McCulloch (2002), `Testing for persistence in stock returns with GARCH-stable shocks, Working Paper, The Ohio State University.
- Bookstaber, R.M. and S. Pomerantz (1989), `An information-based model of market volatility, Financial Analysts Journal, 37-46.
Paper not yet in RePEc: Add citation now
Durbin, J. and S.J. Koopman (2000), `Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives, Journal of The Royal Statistical Society, Series B, 62, Part 1, 3-56.
- Engle, R.F. (1982), `Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica, 50, 987-1008.
Paper not yet in RePEc: Add citation now
Fama, E. (1991), `Efficient capital markets: II, Journal of Finance, Vol.XLVI, No.5, 1575-1617.
French, K.R. and R. Roll (1986), `Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
French, K.R., G.W. Schwert, and R.F. Stambaugh (1987), `Expected stock returns and volatility, Journal of Financial Economics, 19, 3-29.
Ghose, D. and K.F. Kroner (1995), `The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data, Journal of Empirical Finance 2, 225-251.
Groenendijk, P.A., A. Lucas, and C.G. de Vries (1995), `A note on the relationship between GARCH and symmetric stable processes, Journal of Empirical Finance 2, 253264.
- Harvey, A.C. (1992), Forecasting, Structural Time Series Models and the Kalman Filter (Cambridge University Press, Cambridge, UK).
Paper not yet in RePEc: Add citation now
Hodges, P.E. and D.F. Hale (1993), `A computational method for estimating densities of non-Gaussian nonstationary univariate time series, Journal of Time Series Analysis, Vol.14, No.2, 163-178.
- Kitagawa, G. (1987), `Non-Gaussian state space modeling of nonstationary time series, Journal of the American Statistical Association, Vol.82, No.400, 1032-63.
Paper not yet in RePEc: Add citation now
Liu, S.M. and B.W. Brorsen (1995), `Maximum likelihood estimation of a GARCHstable model, Journal of Applied Econometrics, Vol.10, 273-285.
Mandelbrot, B. (1963), `The variation of certain speculative prices, Journal of Business, 36, 394-419.
- McCulloch, J.H. (1996a), Financial applications of stable distributions, in: Maddala, G.S., Rao, C.R., eds., Handbook of Statistics, Vol.14 (Elsevier, Amsterdam) 393-425.
Paper not yet in RePEc: Add citation now
Pagan, A. (1996), `The econometrics of financial markets, Journal of Empirical Finance, Vol.3, No.1, 15-102.
Pagan, A.R. and G.W. Schwert (1990), `Alternative models for conditional stock volatility, Journal of Econometrics, 45, 267-290.
- Peng, L. and W. Xiong (2001), `Time to digest and volatility dynamics, Working Paper, Princeton University.
Paper not yet in RePEc: Add citation now
Sims, C.A. (2002), `Implications of rational inattention, Working Paper, Princeton University.
- Sorenson, H.W. and D.L. Alspach (1971), `Recursive Bayesian estimation using Gaussian sums, Automatica, 7, 465-479.
Paper not yet in RePEc: Add citation now
Tanizaki, H. and R.S. Mariano (1998), `Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations, Journal of Econometrics, 83, 263-290.