Elsevier p hall and q yao inference in arch and garch

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Elsevier. P. Hall and Q. Yao. Inference in ARCH and GARCH models with heavy- tailed errors. Econometrica , 71(1):285–317, 2003. R. E. Hall. Stochastic implications of the life cycle-permanent income hy- pothesis: Theory and evidence. Journal of Political Economy , 86:971–987, 1978. J. D. Hamilton. Time Series Analysis . Princeton University Press, New Jersey: Princeton, 1994a. J. D. Hamilton. State-Space models. In R. F. Engle and D. L. McFadden, editors, Handbook of Econometrics , volume 4, chapter 50, pages 3039–3080. Elsevier, Amsterdam, 1994b. E. J. Hannan and M. Deistler. The Statistical Theory of Linear Systems . John Wiley and Sons, New York, 1988. L. P. Hansen and T. J. Sargent. Two difficulties in interpreting vector au- toregressions. In L. P. Hansen and T. J. Sargent, editors, Rational Expec- tations Econometrics , Underground Classics in Economics, pages 77–119. Westview, Boulder, Colorado, 1991. L. P. Hansen and T. J. Sargent. Saesonality and approximation errors in rational expectations models. Journal of Econometrics , 55:21–55, 1993. A. C. Harvey. Forecasting, Structural Time Series Models and the Kalman Filter . Cambridge University Press, Cambridge, 1989. A. C. Harvey and A. Jaeger. Detrending, stylized facts and the business cycle. Journal of Applied Econometrics , 8:231–247, 1993. A. C. Harvey and R. G. Pierce. Estimating missing observations in economic time series. Journal of the American Statistical Association , 79:125–131, 1984.
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398 BIBLIOGRAPHY L. D. Haugh. Checking the independence of two covariance stationary time series: A univariate residual cross-correlation approach. Journal of the American Statistical Association , 71:378–385, 1976. M. A. Hauser, B. M. P¨otscher, and E. Reschenhofer. Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures. Empirical Economics , 24:243–269, 1999. R. J. Hodrick and E. C. Prescott. Post-war U.S. business cycles: An em- pirical investigation. Discussion Paper 451, Carnegie-Mellon University, Pittsburgh, 1980. R. V. Hogg and A. T. Craig. Introduction to Mathematical Statistics . Prentice-Hall, Upper Saddle River, New Jersey, 5th edition, 1995. E. P. Hong. The autocorrelation structure for the GARCH-M process. Eco- nomics Letters , 37:129–132, 1991. E. P. Howrey. A spectrum analysis of the long swing hypothesis. International Economic Review , 9:228–252, 1968. S. Hylleberg. Seasonality in Regression . Academic Press, Orlando, Florida, 1986. S. Hylleberg, R. F. Engle, C. W. J. Granger, and S. Yoo. Seasonal integration and cointegration. Journal of Econometrics , 44:215–238, 1990. S. T. Jensen and A. Rahbek. Asymptotic normality for non-stationary, ex- plosive GARCH. Econometric Theory , 20(6):1203–1226, 2004. S. Johansen. Statistical analysis of cointegration vectors. Journal of Eco- nomic Dynamics and Control , 12:231–254, 1988. S. Johansen. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica , 59:1551–1580, 1991.
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