Assessing the value of Hermite densities for predictive distributions
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Cites work
- A consistent bootstrap test for conditional density functions with time-series data
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bias prevention of maximum likelihood estimates for scalar skew normal and skew \(t\) distribu\-tions
- Econometric Estimators and the Edgeworth Approximation
- ERA's: A New Approach to Small Sample Theory
- scientific article; zbMATH DE number 5035825 (Why is no real title available?)
- Maximum Likelihood Estimation of Misspecified Models
- Modelling the persistence of conditional variances
- Multivariate Student-t regression models: Pitfalls and inference
- Semi-Nonparametric Maximum Likelihood Estimation
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
- The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
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