References
- Akaike, H. 1974. “A New Look at the Statistical Model Identification.” IEEE Transactions on Automatic Control AC-19: 716–723. doi:10.1109/TAC.1974.1100705.
- Blattberg, R. C., and N. J. Gonedes. 1974. “A Comparison of the Stable and Student Distribution as Statistical Models for Stock Prices.” Journal of Business 47: 244–280. doi:10.1086/295634.
- D’Agostino, R. B. 1970. “Transformation to Normality of the Null Distribution of G1.” Biometrika 57: 679–681.
- Fama, E. 1965. “The Behavior of Stock Market Prices.” Journal of Business 38: 34–105. doi:10.1086/294743.
- Green, W. H. 2012. Econometric Analysis. Pearson: 7-th edition.
- Hannan, E. J., and B. G. Quinn. 1979. “The Determination of the Order of an Autoregression.” Journal of the Royal Statistical Society B-41: 190–195.
- Kon, S. J. 1984. “Models of Stock Returns: A Comparison.” Journal of Finance 39: 147–165.
- Lange, K. L., R. Little, and J. Taylor. 1989. “Robust Statistical Modeling Using T Distribution.” Journal of the American Statistical Association 84: 881–896.
- Lo, Y., N. Mendell, and D. Rubin. 2001. “Testing the Number of Components in a Normal Mixture.” Biometrika 88: 767–778. doi:10.1093/biomet/88.3.767.
- Schwarz, G. 1978. “Estimating the Dimension of a Model.” Annals of Statistics 6: 461–464. doi:10.1214/aos/1176344136.
- Theodossiou, P. 1998. “Financial Data and Skewed Generalized T Distribution.” Management Science 44: 1650–1661. doi:10.1287/mnsc.44.12.1650.
- Vuong, Q. H. 1989. “Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses.” Econoinetrica 57: 307–333. doi:10.2307/1912557.