The Econometric Modelling of Financial Time Series.

Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

[1]  G. Yule.  On the Theory of Correlation , 1897 .

[2]  L. Bachelier,et al.  Théorie de la spéculation , 1900 .

[3]  KARL PEARSON,et al.  The Problem of the Random Walk , 1905, Nature.

[4]  G. Yule.  Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series , 1926 .

[5]  Rob Rhea.  The Dow theory : an explanation of its development and an attempt to define its usefulness as an aid in speculation , 1932 .

[6]  A. Cowles.  Can Stock Market Forecasters Forecast , 1933 .

[7]  Eugen Slutzky.  Summation of random causes as the source of cyclic processes , 1937 .

[8]  A. Cowles,et al.  Some A Posteriori Probabilities in Stock Market Action , 1937 .

[9]  A. Cowles,et al.  Stock Market Forecasting , 1944 .

[10]  H. E. Hurst,et al.  Long-Term Storage Capacity of Reservoirs , 1951 .

[11]  Maurice G. Kendall,et al.  The Analysis of Economic Time‐Series—Part I: Prices , 1953 .

[12]  M. Kendall,et al.  A Study in the Analysis of Stationary Time-Series. , 1955 .

[13]  A. W. Phillips,et al.  Stabilisation Policy and the Time-Forms of Lagged Responses , 1957 .

[14]  M. Osborne.  Brownian Motion in the Stock Market , 1959 .

[15]  G. Chow.  Tests of equality between sets of coefficients in two linear regressions (econometrics voi 28 , 1960 .

[16]  A. Cowles.  A Revision of Previous Conclusions Regarding Stock Price Behavior , 1960 .

[17]  J. Muth.  Optimal Properties of Exponentially Weighted Forecasts , 1960 .

[18]  B. Mandelbrot.  New Methods in Statistical Economics , 1963, Journal of Political Economy.

[19]  B. Mandelbrot.  The Variation of Certain Speculative Prices , 1963 .

[20]  D. Cox,et al.  An Analysis of Transformations , 1964 .

[21]  H. Markowitz,et al.  The Random Character of Stock Market Prices. , 1965 .

[22]  E. Fama.  The Behavior of Stock-Market Prices , 1965 .

[23]  Clive W. J. Granger,et al.  The typical spectral shape of an economic variable , 1966 .

[24]  B. Mandelbrot.  Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models , 1966 .

[25]  William Feller,et al.  An Introduction to Probability Theory and Its Applications , 1967 .

[26]  H. L. Le Roy,et al.  Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability; Vol. IV , 1969 .

[27]  J. B. Ramsey,et al.  Tests for Specification Errors in Classical Linear Least‐Squares Regression Analysis , 1969 .

[28]  C. Granger.  Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .

[29]  B. Mandelbrot.  Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances , 1969 .

[30]  J. R. Wallis,et al.  Some long‐run properties of geophysical records , 1969 .

[31]  G. Box,et al.  Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models , 1970 .

[32]  E. Fama.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[33]  Clive W. J. Granger,et al.  Predictability of Stock Market Prices. , 1971 .

[34]  G. V. L. Narasimham,et al.  Econometric analysis for national economic planning , 1971 .

[35]  Clive W. J. Granger,et al.  “Infinite Variance” and Research Strategy in Time Series Analysis , 1972 .

[36]  B. Mandelbrot.  Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis , 1972 .

[37]  P. Clark.  A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .

[38]  B. Malkiel.  A Random Walk Down Wall Street , 1973 .

[39]  Stephen F. LeRoy,et al.  Risk Aversion and the Martingale Property of Stock Prices , 1973 .

[40]  E. Fama,et al.  Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.

[41]  R. C. Merton,et al.  AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .

[42]  Paul A. Samuelson,et al.  Proof That Properly Discounted Present Values of Assets Vibrate Randomly , 1973 .

[43]  Bronwyn H Hall,et al.  Estimation and Inference in Nonlinear Structural Models , 1974 .

[44]  H. Akaike.  A new look at the statistical model identification , 1974 .

[45]  C. Granger,et al.  Spurious regressions in econometrics , 1974 .

[46]  J. Durbin,et al.  Techniques for Testing the Constancy of Regression Relationships Over Time , 1975 .

[47]  B. M. Hill,et al.  A Simple General Approach to Inference About the Tail of a Distribution , 1975 .

[48]  E. Fama,et al.  Short-Term Interest Rates as Predictors of Inflation , 1975 .

[49]  Chris Chatfield,et al.  Introduction to Statistical Time Series. , 1976 .

[50]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[51]  George E. P. Box,et al.  Time Series Analysis: Forecasting and Control , 1977 .

[52]  Clive W. J. Granger,et al.  Time Series Modelling and Interpretation , 1976 .

[53]  C. Nelson,et al.  On testing the hypothesis that the real rate of interest is constant , 1977 .

[54]  John W. Tukey,et al.  Exploratory Data Analysis. , 1979 .

[55]  P. Robinson,et al.  The estimation of a nonlinear moving average model , 1977 .

[56]  G. William Schwert,et al.  Money, income, and sunspots: Measuring economic relationships and the effects of differencing , 1978 .

[57]  G. Schwarz.  Estimating the Dimension of a Model , 1978 .

[58]  David Roxbee Cox,et al.  Nonlinear autoregressive processes , 1978, Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences.

[59]  John Geweke,et al.  Testing the exogeneity specification in the complete dynamic simultaneous equation model , 1978 .

[60]  R. Lucas.  ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[61]  G. Box,et al.  On a measure of lack of fit in time series models , 1978 .

[62]  David A. Pierce,et al.  Signal Extraction Error in Nonstationary Time Series , 1979 .

[63]  C. Granger,et al.  An introduction to bilinear time series models , 1979 .

[64]  W. Fuller,et al.  Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .

[65]  Leslie Godfrey,et al.  Testing the adequacy of a time series model , 1979 .

[66]  R. Shiller.  The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure , 1979, Journal of Political Economy.

[67]  H. Levy,et al.  Approximating Expected Utility by a Function of Mean and Variance , 1979 .

[68]  R. C. Merton,et al.  On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .

[69]  R. Shiller,et al.  The Use of Volatility Measures in Assessing Market Efficiency , 1980 .

[70]  Sidney I. Resnick,et al.  A Simple Asymptotic Estimate for the Index of a Stable Distribution , 1980 .

[71]  C. Sims.  MACROECONOMICS AND REALITY , 1977 .

[72]  M. J. Klass,et al.  On the Estimation of Security Price Volatilities from Historical Data , 1980 .

[73]  T. Rao,et al.  A TEST FOR LINEARITY OF STATIONARY TIME SERIES , 1980 .

[74]  H. Tong,et al.  Threshold Autoregression, Limit Cycles and Cyclical Data , 1980 .

[75]  C. Granger.  Long memory relationships and the aggregation of dynamic models , 1980 .

[76]  M. Priestley.  STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS , 1980 .

[77]  C. Granger,et al.  AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING , 1980 .

[78]  D. Ruppert,et al.  Trimmed Least Squares Estimation in the Linear Model , 1980 .

[79]  L. Hansen,et al.  Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis , 1980, Journal of Political Economy.

[80]  Anil K. Bera,et al.  Efficient tests for normality, homoscedasticity and serial independence of regression residuals , 1980 .

[81]  H. White.  A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .

[82]  W. E. Wecker,et al.  Asymmetric Time Series , 1981 .

[83]  R. Koenker.  Robust methods in econometrics , 1981 .

[84]  W. Fuller,et al.  LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .

[85]  T. Ozaki,et al.  Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model , 1981 .

[86]  C. Nelson,et al.  A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆ , 1981 .

[87]  Jean-Marie Dufour,et al.  Recursive stability analysis of linear regression relationships: An exploratory methodology , 1982 .

[88]  Stephen F. LeRoy.  Expectations Models of Asset Prices: A Survey of Theory , 1982 .

[89]  Kenneth J. Singleton,et al.  On Unit Roots and the Empirical Modeling of Exchange Rates , 1982 .

[90]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[91]  M. Hinich.  Testing for Gaussianity and Linearity of a Stationary Time Series. , 1982 .

[92]  C. Nelson,et al.  Trends and random walks in macroeconmic time series: Some evidence and implications , 1982 .

[93]  P. Hall.  On Some Simple Estimates of an Exponent of Regular Variation , 1982 .

[94]  Michael R. Gibbons,et al.  MULTIVARIATE TESTS OF FINANCIAL MODELS A New Approach , 1982 .

[95]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[96]  J. Geweke,et al.  THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .

[97]  Robert B. Litterman,et al.  Forecasting and Conditional Projection Using Realistic Prior Distributions , 1983 .

[98]  George Tauchen,et al.  THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS , 1983 .

[99]  Agustín Maravall,et al.  An Application of Nonlinear Time Series Forecasting , 1983 .

[100]  A. I. McLeod,et al.  DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS , 1983 .

[101]  Alok Bhargava,et al.  Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk , 1983 .

[102]  M. B. Priestley,et al.  A STUDY OF THE APPLICATION OF STATE‐DEPENDENT MODELS IN NON‐LINEAR TIME SERIES ANALYSIS , 1984 .

[103]  P. Wachtel,et al.  Crises in the Economic and Financial Structure. , 1984 .

[104]  J. Hosking.  Modeling persistence in hydrological time series using fractional differencing , 1984 .

[105]  Stanley J. Kon.  Models of Stock Returns—A Comparison , 1984 .

[106]  H. White,et al.  Nonlinear Regression with Dependent Observations , 1984 .

[107]  ESTIMATING THE MARKET MODEL ROBUSTLY , 1984 .

[108]  A. A. Weiss.  ARMA MODELS WITH ARCH ERRORS , 1984 .

[109]  D. Dickey,et al.  Testing for unit roots in autoregressive-moving average models of unknown order , 1984 .

[110]  T. Rao,et al.  An Introduction to Bispectral Analysis and Bilinear Time Series Models , 1984 .

[111]  H. White.  Asymptotic theory for econometricians , 1985 .

[112]  Alan H. Welsh,et al.  Adaptive Estimates of Parameters of Regular Variation , 1985 .

[113]  T. Mills,et al.  An empirical analysis of the UK Treasury bill market , 1985 .

[114]  James D. Hamilton,et al.  The observable implications of self-fulfilling expectations , 1985 .

[115]  Stephen F. LeRoy,et al.  Atheoretical macroeconometrics: A critique , 1985 .

[116]  G. Judge,et al.  The Theory and Practice of Econometrics , 1981 .

[117]  D. M. Keenan,et al.  A Tukey nonadditivity-type test for time series nonlinearity , 1985 .

[118]  R. Shiller,et al.  Testing the Random Walk Hypothesis: Power Versus Frequency of Observation , 1985 .

[119]  A. Milhøj.  The moment structure of ARCH processes , 1985 .

[120]  W. Newey,et al.  Generalized method of moments specification testing , 1985 .

[121]  David F. Hendry,et al.  Small-Sample Properties of ARCH Estimators and Tests , 1985 .

[122]  Craig S. Hakkio,et al.  Conditional variance and the risk premium in the foreign exchange market , 1985 .

[123]  D. Dickey,et al.  Hypothesis Testing in ARIMA(p, 1, q) Models , 1985 .

[124]  Douglas M. Patterson,et al.  Evidence of Nonlinearity in Daily Stock Returns , 1985 .

[125]  H. Lütkepohl.  COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS , 1985 .

[126]  R. Tsay.  Nonlinearity tests for time series , 1986 .

[127]  R. Shiller,et al.  The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .

[128]  Frederick Mosteller,et al.  Exploring Data Tables, Trends and Shapes. , 1986 .

[129]  B. Silverman.  Density estimation for statistics and data analysis , 1986 .

[130]  R. Meese.  Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? , 1986, Journal of Political Economy.

[131]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[132]  Andrew A. Weiss,et al.  ARCH and Bilinear Time Series Models: Comparison and Combination , 1986 .

[133]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[134]  M. Taqqu,et al.  Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series , 1986 .

[135]  James D. Hamilton.  On Testing for Self-fulfilling Speculative Price Bubbles , 1986 .

[136]  A. Kleidon.  Bias in Small Sample Tests of Stock Price Rationality , 1986 .

[137]  P. Phillips,et al.  Multiple Time Series Regression with Integrated Processes , 1986 .

[138]  Alok Bhargava,et al.  On the Theory of Testing for Unit Roots in Observed Time Series , 1986 .

[139]  P. Perron,et al.  Trends and random walks in macroeconomic time series : Further evidence from a new approach , 1988 .

[140]  Aris Spanos,et al.  Statistical Foundations of Econometric Modelling , 1986 .

[141]  Andrew A. Weiss,et al.  Asymptotic Theory for ARCH Models: Estimation and Testing , 1986, Econometric Theory.

[142]  H. Iemoto.  Modelling the persistence of conditional variances , 1986 .

[143]  W. Brock.  Distinguishing random and deterministic systems: Abridged version , 1986 .

[144]  P. Phillips.  Understanding spurious regressions in econometrics , 1986 .

[145]  K. West.  A Specification Test for Speculative Bubbles , 1986 .

[146]  A. Kleidon.  Variance Bounds Tests and Stock Price Valuation Models , 1986, Journal of Political Economy.

[147]  P. Phillips.  Testing for a Unit Root in Time Series Regression , 1988 .

[148]  C. Granger,et al.  Forecasting Economic Time Series. , 1988 .

[149]  Stephen L Taylor,et al.  Modelling Financial Time Series , 1987 .

[150]  G. William Schwert,et al.  Effects of model specification on tests for unit roots in macroeconomic data , 1987 .

[151]  Russell P. Robins,et al.  Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .

[152]  D. Guégan.  DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS , 1987 .

[153]  Peter C. B. Phillips,et al.  Towards a Unified Asymptotic Theory for Autoregression , 1987 .

[154]  Peter J. Rousseeuw,et al.  Robust regression and outlier detection , 1987 .

[155]  P. Phillips.  Time series regression with a unit root , 1987 .

[156]  James H. Stock,et al.  Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors , 1987 .

[157]  Richard H. Thaler,et al.  Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects , 1987 .

[158]  P. Boothe,et al.  The statistical distribution of exchange rates: Empirical evidence and economic implications , 1987 .

[159]  Robert J. Shiller,et al.  Cointegration and Tests of Present Value Models , 1987, Journal of Political Economy.

[160]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[161]  A. Mackinlay.  On multivariate tests of the CAPM , 1987 .

[162]  S. Pantula,et al.  Determining the Order of Differencing in Autoregressive Processes , 1987 .

[163]  Donald Poskitt,et al.  Determining a portfolio of linear time series models , 1987 .

[164]  K. French,et al.  Expected stock returns and volatility , 1987 .

[165]  P. Phillips.  Asymptotic Expansions in Nonstationary Vector Autoregressions , 1987, Econometric Theory.

[166]  Richard H. Thaler,et al.  Anomalies: The January Effect , 1987 .

[167]  Paradise Lost & Refound , 1987 .

[168]  T. Bollerslev,et al.  A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .

[169]  Herschel I. Grossman,et al.  On the Inception of Rational Bubbles , 1987 .

[170]  J. Campbell,et al.  Permanent and Transitory Components in Macroeconomic Fluctuations , 1987 .

[171]  John T. Cuddington,et al.  The Beveridge-Nelson decomposition of economic time series: A quick computational method , 1987 .

[172]  A. Lo,et al.  Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1987 .

[173]  Philippe Jorion.  On Jump Processes in the Foreign Exchange and Stock Markets , 1988 .

[174]  L. Godfrey.  Misspecification tests in econometrics , 1988 .

[175]  E. McKenzie.  A note on using the integrated form of ARIMA forecasts , 1988 .

[176]  Robert J. Shiller,et al.  Interpreting Cointegrated Models , 1988 .

[177]  J. Wooldridge,et al.  A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.

[178]  John H. Cochrane,et al.  How Big Is the Random Walk in GNP? , 1988, Journal of Political Economy.

[179]  R. Shiller,et al.  Stock Prices, Earnings and Expected Dividends , 1988 .

[180]  C. Sims.  Bayesian skepticism on unit root econometrics , 1988 .

[181]  Sangit Chatterjee,et al.  On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index , 1988 .

[182]  W. Arthur,et al.  The Economy as an Evolving Complex System II , 1988 .

[183]  K. West,et al.  Asymptotic normality, when regressors have a unit root , 1988 .

[184]  S. Miller.  The Beveridge-Nelson decomposition of economic time series: Another economical computational method , 1988 .

[185]  J. Poterba,et al.  Mean Reversion in Stock Prices: Evidence and Implications , 1987 .

[186]  Murad S. Taqqu,et al.  ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG‐MEMORY NOISE , 1988 .

[187]  Sam Ouliaris,et al.  Testing for cointegration using principal components methods , 1988 .

[188]  M. B. Priestley,et al.  Non-linear and non-stationary time series analysis , 1990 .

[189]  A. Lo,et al.  The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation , 1988 .

[190]  T. Bollerslev,et al.  ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS , 1988 .

[191]  J. Stock,et al.  Testing for Common Trends , 1988 .

[192]  P. Phillips,et al.  Statistical Inference in Regressions with Integrated Processes: Part 1 , 1988, Econometric Theory.

[193]  Herschel I. Grossman,et al.  Explosive Rational Bubbles in Stock Prices , 1988 .

[194]  G. Schwert.  Why Does Stock Market Volatility Change Over Time? , 1988 .

[195]  Dennis W. Jansen,et al.  On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective , 1989 .

[196]  J. Gooijer.  Testing non-linearities in world stock market prices , 1989 .

[197]  R. Baillie,et al.  The Message in Daily Exchange Rates , 1989 .

[198]  Sidney I. Resnick,et al.  Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes , 1989 .

[199]  Stephen A. Ross,et al.  A Test of the Efficiency of a Given Portfolio , 1989 .

[200]  David Hsieh.  Testing for Nonlinear Dependence in Daily Foreign Exchange Rates , 1989 .

[201]  W. Krämer,et al.  A new test for structural stability in the linear regression model , 1989 .

[202]  J. Hull.  Options, Futures, and Other Derivatives , 1989 .

[203]  Stephen F. LeRoy,et al.  Efficient Capital Markets and Martingales , 1989 .

[204]  L. Haan,et al.  On the Estimation of the Extreme-Value Index and Large Quantile Estimation , 1989 .

[205]  O. Blanchard.  A Traditional Interpretation of Macroeconomic Fluctuations , 1989 .

[206]  James D. Hamilton.  A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .

[207]  P. Perron,et al.  The Great Crash, The Oil Price Shock And The Unit Root Hypothesis , 1989 .

[208]  Grayham E. Mizon,et al.  A note on the distribution of the least squares estimator of a random walk with drift , 1989 .

[209]  Kurt Hornik,et al.  Multilayer feedforward networks are universal approximators , 1989, Neural Networks.

[210]  J. Stock,et al.  Drawing Inferences from Statistics Based on Multi-Year Asset Returns , 1989 .

[211]  Peter C. B. Phillips,et al.  Statistical Inference in Instrumental Variables Regression with I(1) Processes , 1990 .

[212]  Patrick Lam,et al.  The Hamilton model with a general autoregressive component , 1990 .

[213]  Katsuto Tanaka.  Testing for a Moving Average Unit Root , 1990, Econometric Theory.

[214]  T. Bollerslev,et al.  Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .

[215]  P. Phillips,et al.  Asymptotic Properties of Residual Based Tests for Cointegration , 1990 .

[216]  Marcia M. A. Schafgans,et al.  The tail index of exchange rate returns , 1990 .

[217]  Andrew Harvey,et al.  Forecasting, Structural Time Series Models and the Kalman Filter , 1990 .

[218]  James D. Hamilton.  Analysis of time series subject to changes in regime , 1990 .

[219]  W. Härdle.  Applied Nonparametric Regression , 1991 .

[220]  Darrell Duffie,et al.  The New Palgrave: Finance: A book review , 1990 .

[221]  Byung Sam Yoo,et al.  Seasonal integration and cointegration , 1990 .

[222]  James D. Hamilton,et al.  Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Review , 1990 .

[223]  P. Perron,et al.  Testing For A Unit Root In A Time Series With A Changing Mean , 1990 .

[224]  Fallaw Sowell,et al.  The Fractional Unit Root Distribution , 1990 .

[225]  Paul Newbold,et al.  Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series , 1990 .

[226]  The Stock Market: Bubbles, Volatility, and Chaos , 1990 .

[227]  Halbert White,et al.  Connectionist nonparametric regression: Multilayer feedforward networks can learn arbitrary mappings , 1990, Neural Networks.

[228]  H. Stoll,et al.  Stock Market Structure and Volatility , 1990 .

[229]  Daniel B. Nelson.  ARCH models as diffusion approximations , 1990 .

[230]  Adrian Pagan,et al.  Testing for covariance stationarity in stock market data , 1990 .

[231]  M. S. Morgan.  The History of Econometric Ideas , 1990 .

[232]  Daniel B. Nelson.  Stationarity and Persistence in the GARCH(1,1) Model , 1990, Econometric Theory.

[233]  J. Stock,et al.  INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS , 1990 .

[234]  Peter C. B. Phillips,et al.  Time Series Regression With a Unit Root and Infinite-Variance Errors , 1990, Econometric Theory.

[235]  Juan J. Dolado,et al.  COINTEGRA TION AND UNIT ROOTS , 1990 .

[236]  Terence C. Mills,et al.  Time series techniques for economists , 1990 .

[237]  Glenn D. Rudebusch,et al.  On the Power of Dickey-Fuller Tests against Fractional Alternatives , 1991, Business Cycles.

[238]  P. Schmidt,et al.  Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters , 1990 .

[239]  Tim Weithers,et al.  Louis Bachelier: The Father of Modern Option Pricing Theory , 1991 .

[240]  Harald Uhlig,et al.  Understanding unit rooters: a helicopter tour , 1991 .

[241]  Matthew Richardson,et al.  Tests of financial models in the presence of overlapping observations , 1991 .

[242]  R. Engle,et al.  Semiparametric ARCH Models , 1991 .

[243]  John H. Cochrane,et al.  A critique of the application of unit root tests , 1991 .

[244]  James H. Stock.  Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series , 1991 .

[245]  A. Lo.  Long-Term Memory in Stock Market Prices , 1991 .

[246]  David N. DeJong,et al.  Reconsidering 'Trends and random walks in macroeconomic time series' * , 1991 .

[247]  E. Fama,et al.  Efficient Capital Markets : II , 2007 .

[248]  David Hsieh.  Chaos and Nonlinear Dynamics: Application to Financial Markets , 1991 .

[249]  Jia He,et al.  A Variance‐Ratio Test of Random Walks in Foreign Exchange Rates , 1991 .

[250]  P. Robinson,et al.  Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression , 1991 .

[251]  C. Whiteman,et al.  The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function , 1991 .

[252]  Sangit Chatterjee,et al.  A Data-Analytic Look at Skewness and Elongation in Common-Stock-Return Distributions , 1991 .

[253]  Kenneth A. Froot,et al.  Chartists, Fundamentalists and the Demand for Dollars , 1991 .

[254]  P. Perron,et al.  Test Consistency with Varying Sampling Frequency , 1991, Econometric Theory.

[255]  Richard A. Davis,et al.  Time Series: Theory and Methods , 2013 .

[256]  P. Phillips,et al.  Vector autoregression and causality , 1991 .

[257]  The term structure of UK interest rates: tests of the expectations hypothesis , 1991 .

[258]  Helmut Lütkepohl,et al.  Introduction to multiple time series analysis , 1991 .

[259]  Peter C. B. Phillips,et al.  Optimal Inference in Cointegrated Systems , 1991 .

[260]  C. D. Vries,et al.  The Limiting Distribution of Extremal Exchange Rate Returns , 1991 .

[261]  Peter C. B. Phillips,et al.  Estimating Long Run Economic Equilibria , 1991 .

[262]  Pentti Saikkonen,et al.  Asymptotically Efficient Estimation of Cointegration Regressions , 1991, Econometric Theory.

[263]  D. Andrews.  Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation , 1991 .

[264]  Daniel B. Nelson.  CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[265]  Equity Prices, Dividends and Gilt Yields in the UK: Cointegration, Error Correction and 'Confidence.' , 1991 .

[266]  Philip A. Stork,et al.  Differences between foreign exchange rate regimes: the view from the tails , 1992 .

[267]  Gary Koop,et al.  ‘Objective’ bayesian unit root tests , 1992 .

[268]  Katarina Juselius,et al.  Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model , 1992 .

[269]  A. Gallant,et al.  Finding Chaos in Noisy Systems , 1992 .

[270]  P. Phillips,et al.  Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? , 1992 .

[271]  C. Whiteman,et al.  The power problems of unit root test in time series with autoregressive errors , 1992 .

[272]  Fallaw Sowell.  Maximum likelihood estimation of stationary univariate fractionally integrated time series models , 1992 .

[273]  A. Harvey,et al.  Unobserved component time series models with Arch disturbances , 1992 .

[274]  R. Baillie,et al.  Prediction in dynamic models with time-dependent conditional variances , 1992 .

[275]  J. Beran.  Statistical methods for data with long-range dependence , 1992 .

[276]  J. Wooldridge,et al.  Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances , 1992 .

[277]  Bruce E. Hansen,et al.  Testing for parameter instability in linear models , 1992 .

[278]  Hans-Eggert Reimers,et al.  Comparisons of tests for multivariate cointegration , 1992 .

[279]  J. Stock,et al.  Efficient Tests for an Autoregressive Unit Root , 1992 .

[280]  Anil K. Bera,et al.  A Class of Nonlinear ARCH Models , 1992 .

[281]  Louis K.C. Chan,et al.  Robust Measurement of Beta Risk , 1992, Journal of Financial and Quantitative Analysis.

[282]  Fallaw Sowell.  Modeling long-run behavior with the fractional ARIMA model , 1992 .

[283]  L. M. Berliner,et al.  Statistics, Probability and Chaos , 1992 .

[284]  Daniel B. Nelson,et al.  Inequality Constraints in the Univariate GARCH Model , 1992 .

[285]  P. Bougerol,et al.  Stationarity of Garch processes and of some nonnegative time series , 1992 .

[286]  K. Koedijk,et al.  Tail Estimates of East European Exchange Rates , 1992 .

[287]  B. LeBaron,et al.  Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .

[288]  David Griffeath.  [Statistics, Probability and Chaos]: Comment: Randomness in Complex Systems , 1992 .

[289]  Peter E. Rossi,et al.  Stock Prices and Volume , 1992 .

[290]  Campbell R. Harvey,et al.  An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .

[291]  [Statistics, Probability and Chaos]: Comment , 1992 .

[292]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[293]  Ernst R. Berndt,et al.  The Practice of Econometrics: Classic and Contemporary. , 1992 .

[294]  Philip Rothman.  The Comparative Power of the TR Test against Simple Threshold Models , 1992 .

[295]  Maxwell L. King,et al.  A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances , 1993 .

[296]  Paul Newbold,et al.  Bias in the sample autocorrelations of fractional noise , 1993 .

[297]  M. Dacorogna,et al.  A geographical model for the daily and weekly seasonal volatility in the foreign exchange market , 1993 .

[298]  Farshid Vahid,et al.  Common Trends and Common Cycles , 1993 .

[299]  Matthew Richardson,et al.  Temporary Components of Stock Prices: A Skeptic's View , 1993 .

[300]  S. Rachev,et al.  Modeling asset returns with alternative stable distributions , 1993 .

[301]  David F. Hendry,et al.  Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data , 1993, Advanced texts in econometrics.

[302]  S. Heston.  A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[303]  Mark W. Watson,et al.  A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS , 1993 .

[304]  T. Nijman,et al.  Temporal Aggregation of GARCH Processes. , 1993 .

[305]  R. Engle,et al.  Testing superexogeneity and invariance in regression models , 1993 .

[306]  Svetlozar T. Rachev,et al.  Reply to comments on modeling asset returns with alternative stable distributions and some extensions , 1993 .

[307]  K. V. Chow,et al.  A simple multiple variance ratio test , 1993 .

[308]  R. Tibshirani,et al.  An introduction to the bootstrap , 1993 .

[309]  L. Glosten,et al.  On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .

[310]  Robert F. Engle,et al.  Testing for Common Features , 1993 .

[311]  C. Granger,et al.  A long memory property of stock market returns and a new model , 1993 .

[312]  Robert W. Dimand,et al.  The case of Brownian motion: a note on Bachelier's contribution , 1993, The British Journal for the History of Science.

[313]  Peter C. B. Phillips,et al.  Vector Autoregressions and Causality , 1993 .

[314]  T. Mills.  Testing the present value model of equity prices for the UK stock market , 1993 .

[315]  Howell Tong,et al.  Dimension estimation and models , 1993 .

[316]  Allan W. Gregory,et al.  Theoretical Relations Between Risk Premiums and Conditional Variances , 1993 .

[317]  Tim Bollerslev,et al.  COMMON PERSISTENCE IN CONDITIONAL VARIANCES , 1993 .

[318]  Clive W. J. Granger,et al.  Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests , 1993 .

[319]  J. Zakoian,et al.  Threshold Arch Models and Asymmetries in Volatility , 1993 .

[320]  Timo Teräsvirta,et al.  POWER OF THE NEURAL NETWORK LINEARITY TEST , 1993 .

[321]  P. Phillips,et al.  Parameter Constancy in Cointegrating Regressions , 1993 .

[322]  Anil K. Bera,et al.  ARCH Models: Properties, Estimation and Testing , 1993 .

[323]  Oliver Linton,et al.  Adaptive Estimation in ARCH Models , 1993, Econometric Theory.

[324]  Pentti Saikkonen,et al.  Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models , 1993 .

[325]  Ping Chen,et al.  Nonlinear dynamics and evolutionary economics , 1993 .

[326]  Jun Cai.  A Markov Model of Switching-Regime ARCH , 1994 .

[327]  Halbert White,et al.  Artificial neural networks: an econometric perspective ∗ , 1994 .

[328]  D. Applebaum.  Stable non-Gaussian random processes , 1995, The Mathematical Gazette.

[329]  Yeshaiahu Fainman,et al.  A learning law for density estimation , 1994, IEEE Trans. Neural Networks.

[330]  Tae-Hwy Lee.  Spread and volatility in spot and forward exchange rates , 1994 .

[331]  James D. Hamilton,et al.  Autoregressive conditional heteroskedasticity and changes in regime , 1994 .

[332]  Stephen L Taylor,et al.  MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY , 1994 .

[333]  P. Phillips,et al.  Vector autoregression and causality: a theoretical overview and simulation study , 1994 .

[334]  T. Teräsvirta.  Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models , 1994 .

[335]  Joseph P. Romano,et al.  The stationary bootstrap , 1994 .

[336]  P. Perron,et al.  Further Evidence on Breaking Trend Functions in Macroeconomic Variables. , 1997 .

[337]  Paul Newbold,et al.  LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE , 1994 .

[338]  Christopher A. Sims.  Advances in econometrics : Sixth World Congress , 1994 .

[339]  P. Phillips,et al.  Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets , 1994 .

[340]  Stanley,et al.  Stochastic process with ultraslow convergence to a Gaussian: The truncated Lévy flight. , 1994, Physical review letters.

[341]  E. Ziegel.  Extreme Value Theory and Applications , 1994 .

[342]  Uwe Hassler,et al.  On the power of unit root tests against fractional alternatives , 1994 .

[343]  Serena Ng,et al.  Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag , 1995 .

[344]  D. M. Titterington,et al.  Neural Networks: A Review from a Statistical Perspective , 1994 .

[345]  Piotr Kokoszka,et al.  INFINITE VARIANCE STABLE ARMA PROCESSES , 1994 .

[346]  Brendan McCabe,et al.  A Consistent Test for a Unit Root , 1994 .

[347]  B. Hansen.  Autoregressive Conditional Density Estimation , 1994 .

[348]  P. Robinson.  Semiparametric Analysis of Long-Memory Time Series , 1994 .

[349]  Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present , 1994 .

[350]  J. Zakoian.  Threshold heteroskedastic models , 1994 .

[351]  W. Li,et al.  On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity , 1994 .

[352]  Helmut Lütkepohl,et al.  Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference , 1994 .

[353]  N. Shephard,et al.  Multivariate stochastic variance models , 1994 .

[354]  James D. Hamilton.  Time Series Analysis , 1994 .

[355]  Yacine Ait-Sahalia.  Testing Continuous-Time Models of the Spot Interest Rate , 1995 .