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Volume 9, Issue 4

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Skew Densities and Ensemble Inference for Financial Economics
H. D. Vinod

References

[1] A. Azzalini, "A Class of Distributions Which Includes the Normal Ones," Scandinavian Journal of Statistics, 12, 1985 pp. 171-178.

[2] mathStatica, Sydney, Australia: MATHSTATICA Pty. Ltd., (Feb 2005) www.mathStatica.com.

[3] C. Rose and M. D. Smith, Mathematical Statistics with Mathematica, New York: Springer-Verlag, 2002.

[4] G. Morgenstern, "How Big Could the Next Wave Be? Check the Risk Level," Market Watch section, New York Times, Feb 1, 2003.

[5] Morningstar, On-Disk, Principia, Principia-Plus, and Principia-Pro Manuals (1991-2000), Chicago: Morningstar Publications, 2000.

[6] H. D. Vinod, "Maximum Entropy Constructive Ensembles for Time Series Analysis" (discussion paper, Department of Economics, Fordham University, Bronx, NY, Dec 22, 2002). Paper presented at the 35th Symposium on the Interface: Computing Science and Statistics (Salt Lake City, UT, Mar 14, 2003) is available on CD-ROM from the Interface Foundation of North America, Inc., P. O. Box 7460, Fairfax Station, VA 22039-7460. Also available at www.american.edu/cas/econ/faculty/golan/Papers/9_17vinod.doc.

[7] B. D. McCullough and H. D. Vinod, "The Numerical Reliability of Econometric Software," Journal of Economic Literature, 37(2), 1999 pp. 633-665.

[8] B. D. McCullough and H. D. Vinod, "Verifying the Solution from a Nonlinear Solver: A Case Study," The American Economic Review, 93(3), June 2003 pp. 873-892.

[9] H. D. Vinod and M. R. Morey, "Estimation Risk in Morningstar Fund Ratings," Journal of Investing, 11(4), 2002 pp. 67-75.



     
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