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Market proxy inefficiency, factor misspecification, and CAPM-tests based on the cross-section of returns
Hamerle, Alfred, (2000)
Mis-specification in Phillips Curve regressions : quantifying frequency eependence in this relationship while allowing for feedback
Ashley, Richard A., (2006)
Estimation of nonlinear models with measurement error using marginal information
Hu, Yingyao, (2003)
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert, (2008)
On more robust estimation of skewness and kurtosis
Kim, Tae-hwan, (2004)
On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index
Kim, Tae-hwan, (2003)