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Zhu, D. and Zinde-Walsh, V. (2009) Properties and Estimation of Asymmetric Exponential Power Distribution. Journal of Econometrics, 148, 86-99.
http://www.sciencedirect.com/science/article/pii/S0304407608001668 http://dx.doi.org/10.1016/j.jeconom.2008.09.038

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