1 |
E. W. Noreen, Computer-Intensive Methods for Testing Hypotheses: An Introduction, New York, NY: John Wiley & Sons, 1989
|
2 |
G. McQueen, ‘Long-Horizon Mean-Reverting Stock Prices Revisited,’ Journal of Financial and Quantitative Analysis 27, 1992, pp.1-18
|
3 |
H. Guirguis, C. Giannikos and R. Anderson, ‘The US Housing Market: Asset Pricing Forecasts Using Time Varying Coefficients,’ Journal of Real Estate Finance and Economics, forthcoming
|
4 |
M. Kim, C. Nelson, and R. Startz. ‘Mean Reversion in Stock Prices? A reappraisal of the Empirical Evidence,’ Review of Economic Studies 58, 1999, pp.515-528
|
5 |
R. Engle, ‘Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation,’ Econometrica, 50, 1982, pp.987-100
|
6 |
NYISO Report, New York Power Pool Zone Forecasting Models, February 10, 1999, p.1, available at nyiso.com
|
7 |
E. Walter, ‘Applied Econometric Time Series,’ New York: John Wiley & Sons, 1994, pp.146-148 & pp.233-243
|
8 |
R. Engle, D. Lilien, and R. Robins, ‘Estimating time varying risk premia in the term structure: The ARCH-M model,’ Econometrica, 55, pp.391-407, 1986
|
9 |
P. Franses and H. Ghijsels, 1999, ‘Additive outliers, GARCH and forecasting volatility,’ International Journal of Forecasting 15, pp.1-9
|
10 |
F. J. Nogales, J. Contreras, A. J. Conejo, R. Espínola, ‘Forecasting Next-Day Electricity Prices by Time Series Models,’ IEEE Transactions on Power Systems, vol. 17, no. 2, 2002, pp.342-348
|
11 |
G. Schwarz, ‘Estimating the Dimension of a Model,’ Annals of Statistics 6, pp. 461-464, 1978
|
12 |
T. Bollerslev, ‘Generalized autoregressive conditional heteroscedasticity,’ Journal of Economics, 31, 1986, pp.302-327
|