Stochastic volatility demand systems

References

• Banks, J., Blundell, R., Lewbel, A. (1997). Quadratic Engel curves and consumer demand. Review of Economics and Statistics 79:527–539.
   Web of Science ®Google Scholar
• Barnett, W. A. (1983). Definitions of second-order approximation and of flexible functional form. Economics Letters 12:31–35.
   Web of Science ®Google Scholar
• Barnett, W. A., Jonas, A. (1983). The Müntz-Szatz demand system: An application of a globally well behaved series expansion. Economics Letters 11:337–342.
   Web of Science ®Google Scholar
• Barnett, W. A., Serletis, A. (2008). Consumer preferences and demand systems. Journal of Econometrics 147:210–224.
   Web of Science ®Google Scholar
• Barnett, W. A., Yue, P. (1988). Seminonparametric estimation of the asymptotically ideal model: The AIM demand system. In: Rhodes, G. F., Fomby, T. B., eds. Nonparametric and Robust Inference: Advances in Econometrics. Vol. 7. Greenwich, CT: JAI Press.
   Google Scholar
• Barnett, W. A., Liu, J., Mattson, R. S., van den Noort, J. (2013). The new CFS divisia monetary aggregates: Design, construction, and data sources. Open Economies Review 24:101–124.
   Web of Science ®Google Scholar
• Barten, A. P. (1969). Maximum likelihood estimation of a complete system of demand equations. European Economic Review 1:7–73.
   Web of Science ®Google Scholar
• Bauwens, L., Laurent, S., Rombouts, J. V. K. (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics 21:79–109.
   Web of Science ®Google Scholar
• Blundell, R., Kristensen, D., Matzkin, R. (2014). Bounding quantile demand functions using revealed preference inequalities. Journal of Econometrics 179:112–127.
   Web of Science ®Google Scholar
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31:307–27.
   Web of Science ®Google Scholar
• Bollerslev, T. (1990). Modeling the coherence in short-term nominal exchange rates: A multivariate generalized ARCH approach. Review of Economics and Statistics 72:498–505.
   Web of Science ®Google Scholar
• Bollerslev, T., Engle, R. F., Wooldridge, J. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy 96:116–131.
   Web of Science ®Google Scholar
• Christensen, L. R., Jorgenson, D. W., Lau, L. J. (1975). Transcendental logarithmic utility functions. American Economic Review 65:367–383.
   Web of Science ®Google Scholar
• Deaton, A., Muellbauer, J. N. (1980). An almost ideal demand system. American Economic Review 70:312–326.
   Web of Science ®Google Scholar
• Diewert, W. E. (1971). An application of the Shephard duality theorem: A generalized Leontief production function. Journal of Political Economy 79:481–507.
   Web of Science ®Google Scholar
• Diewert, W. E. (1974). Applications of duality theory. In: Intriligator, M. D., Kendrick, D. A., eds. Frontiers of Quantitative Economics Vol. 2. Amsterdam: North-Holland, pp. 106–171.
   Google Scholar
• Diewert, W. E., Wales, T. J. (1988). Normalized quadratic systems of consumer demand functions. Journal of Business and Economic Statistics 6:303–312.
   Web of Science ®Google Scholar
• Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. Inflation. Econometrica 50:987–1008.
   Web of Science ®Google Scholar
• Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. Journal of Business and Economic Statistics 20:339–350.
   Web of Science ®Google Scholar
• Engle, R. F., Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory 11:122–150.
   Web of Science ®Google Scholar
• Gallant, A. R. (1981). On the bias in flexible functcional forms and an essentially unbiased form: The fourier flexible form. Journal of Econometrics 15:211–245.
   Web of Science ®Google Scholar
• Granger, C. W. J. (1980). Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14:227–238.
   Web of Science ®Google Scholar
• Hoderlein, S. (2011). How many consumers are rational? Journal of Econometrics 164:294–309.
   Web of Science ®Google Scholar
• Hoderlein, S., Stoye, J. (2014). Revealed preferences in a heterogeneous population. Review of Economics and Statistics 96:197–213.
   Web of Science ®Google Scholar
• Lewbel, A. (1997). Consumer demand systems and household equivalent scales. In: Pesaran, M. H., Schmidt, P., eds. Handbook of Applied Econometrics. Volume II Microeconomics. Oxford: Blackwell Publishers Ltd.
   Google Scholar
• Lewbel, A. (2001). Demand systems with and without errors. American Economic Review 91:611–618.
   Web of Science ®Google Scholar
• Lewbel, A., Ng, S. (2005). Demand systems with nonstationary prices. Review of Economics and Statistics 87:479–494.
   Web of Science ®Google Scholar
• Lewbel, A., Pendakur, K. (2009). Tricks with hicks: The EASI demand system. American Economic Review 99:827–863.
   Web of Science ®Google Scholar
• McLaren, K. R. (1990). A variant on the arguments for the invariance of estimators in a singular system of equations. Econometric Reviews 9:91–102.
   Google Scholar
• Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns. Econometrica 59:347–370.
   Web of Science ®Google Scholar
• Silvennoinen, A., Teräsvirta, T. (2011). Multivariate GARCH models. In: Andersen, T. G., Davis, R. A., Kreiss, J.-P., Mikosch, T., eds. Handbook of Financial Time Series. New York: Springer.
   Google Scholar
• Tse, Y. K., Tsui, A. K. C. (2002). A multivariate GARCH model with time-varying correlations. Journal of Business and Economic Statistics 20:351–362.
   Web of Science ®Google Scholar