## Bibliography

[1] Ait-Sahalia, Y. “Testing Continuous-Time Models of the Spot Interest Rate.”
*The Review of Financial Studies*. Spring 1996, Vol. 9, No. 2, pp. 385–426.

[2] Ait-Sahalia, Y. "Transition Densities for Interest Rate and Other Nonlinear Diffusions." *The Journal of Finance. *Vol. 54, No. 4, August 1999.

[3] Akaike, Hirotugu. "Information Theory and an Extension of the Maximum Likelihood Principle.” In *Selected Papers of Hirotugu Akaike*, edited by Emanuel Parzen, Kunio Tanabe, and Genshiro Kitagawa, 199–213. New York: Springer, 1998. https://doi.org/10.1007/978-1-4612-1694-0_15.

[4] Akaike, Hirotugu. “A New Look at the Statistical Model Identification.” *IEEE Transactions on Automatic Control* 19, no. 6 (December 1974): 716–23. https://doi.org/10.1109/TAC.1974.1100705.

[5] Almon, S. "The Distributed Lag Between Capital Appropriations and Expenditures." *Econometrica.* Vol. 33, 1965, pp. 178–196.

[6] Amano, R. A., and S. van Norden. "Unit Root Tests and the Burden of Proof." Bank of Canada. Working paper 92–7, 1992.

[7] Andrews, D. W. K. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation." *Econometrica*. Vol. 59, 1991, pp. 817–858.

[8] Andrews, D. W. K., and J. C. Monohan. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator." *Econometrica*. Vol. 60, 1992, pp. 953–966.

[9] Baillie, R. T., and T. Bollerslev. “Prediction in Dynamic Models with Time-Dependent Conditional Variances.”
*Journal of Econometrics*. Vol. 52, 1992, pp. 91–113.

[10] Banerjee, A. N., and J. R. Magnus. "On the Sensitivity of the Usual *t*- and *F*-Tests to Covariance Misspecification." *Journal of Econometrics*. Vol. 95, 2000, pp. 157–176.

[11] Barone-Adesi, G., K. Giannopoulos, and L. Vosper. "VaR without Correlations for Non-Linear Portfolios." *Journal of Futures Markets*. Vol. 19, 1999, pp. 583–602.

[12] Belsley, D. A., E. Kuh, and R. E. Welsh. *Regression Diagnostics*. New York, NY: John Wiley & Sons, Inc., 1980.

[13] Bera, A. K., and H. L. Higgins. “A Survey of ARCH Models: Properties, Estimation and Testing.”
*Journal of Economic Surveys*. Vol. 7, No. 4, 1993.

[14] Bohrnstedt, G. W., and T. M. Carter. "Robustness in Regression Analysis." In *Sociological Methodology*, H. L. Costner, editor, pp. 118–146. San Francisco: Jossey-Bass, 1971.

[15] Bollerslev, T. “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.”
*Review of Economics and Statistics*. Vol. 69, 1987, pp. 542–547.

[16] Bollerslev, T. “Generalized Autoregressive Conditional Heteroskedasticity.”
*Journal of Econometrics*. Vol. 31, 1986, pp. 307–327.

[17] Bollerslev, T., R. Y. Chou, and K. F. Kroner. “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.”
*Journal of Econometrics*. Vol. 52, 1992, pp. 5–59.

[18] Bollerslev, T., R. F. Engle, and D. B. Nelson. “ARCH Models.”
*Handbook of Econometrics*. Vol. 4, Chapter 49, Amsterdam: Elsevier Science B.V., 1994, pp. 2959–3038.

[19] Bollerslev, T., and E. Ghysels. “Periodic Autoregressive Conditional Heteroscedasticity.”
*Journal of Business and Economic Statistics*. Vol. 14, 1996, pp. 139–151.

[20] Bouye, E., V. Durrleman, A. Nikeghbali, G. Riboulet, and Roncalli, T. "Copulas for Finance: A Reading Guide and Some Applications." Groupe de Rech. Oper., Credit Lyonnais, Paris, 2000.

[21] Box, G. E. P., and D. R. Cox. "An Analysis of Transformations". *Journal of the Royal Statistical Society*. Series B, Vol. 26, 1964, pp. 211–252.

[22] Box, G. E. P. and D. Pierce. "Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models." *Journal of the American Statistical Association*. Vol. 65, 1970, pp. 1509–1526.

[23] Box, George E. P., Gwilym M. Jenkins, and Gregory C. Reinsel. *Time Series Analysis: Forecasting and Control*. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.

[24] Brandolini, D., M. Pallotta, and R. Zenti. "Risk Management in an Asset Management Company: A Practical Case." Presented at EMFA 2001, Lugano, Switzerland. 2000.

[25] Breusch, T.S., and L. G. Godfrey. "A Review of Recent Work on Testing for Autocorrelation in Dynamic Simultaneous Models." In Currie, D., R. Nobay, and D. Peel (Eds.), *Macroeconomic Analysis: Essays in Macroeconomics and Econometrics.* London: Croom Helm, 1981.

[26] Breusch, T.S., and Pagan, A.R. "Simple test for heteroscedasticity and random coefficient variation". *Econometrica*. v. 47, 1979, pp. 1287–1294.

[27] Brieman, L., J. H. Friedman, R. A. Olshen, and C. J. Stone. *Classification and Regression Trees*. Boca Raton, FL: Chapman & Hall/CRC, 1984.

[28] Brockwell, P. J. and R. A. Davis. *Introduction to Time Series and Forecasting*. 2nd ed. New York, NY: Springer, 2002.

[29] Brooks, C., S. P. Burke, and G. Persand. “Benchmarks and the Accuracy of GARCH Model Estimation.”
*International Journal of Forecasting*. Vol. 17, 2001, pp. 45–56.

[31] Brown, M. B. and Forsythe, A. B. "Robust Tests for Equality of Variances." *Journal of the American Statistical Association*. 69, 1974, pp. 364–367.

[32] Burke, S. P. "Confirmatory Data Analysis: The Joint Application of Stationarity and Unit Root Tests." University of Reading, UK. Discussion paper 20, 1994.

[33] Burnham, Kenneth P., and David R. Anderson. *Model Selection and Multimodel Inference: A Practical Information-Theoretic Approach*. 2nd ed, New York: Springer, 2002.

[34] Campbell, J. Y., A. W. Lo, and A. C. MacKinlay. Chapter 12. “The Econometrics of Financial Markets.”
*Nonlinearities in Financial Data*. Princeton, NJ: Princeton University Press, 1997.

[35] Caner, M., and L. Kilian. “Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate.”
*Journal of International Money and Finance*. Vol. 20, 2001, pp. 639–657.

[36] Cecchetti, S. G., and P. S. Lam. “Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data.”
*Journal of Business and Economic Statistics*. Vol. 12, 1994, pp. 177–186.

[37] Chambers, M. J. "Jackknife Estimation of Stationary Autoregressive Models." University of Essex Discussion Paper No. 684, 2011.

[38] Chauvet, M., and J. D. Hamilton. "Dating Business Cycle Turning Points." In *Nonlinear Analysis of Business Cycles (Contributions to Economic Analysis, Volume 276)*. (C. Milas, P. Rothman, and D. van Dijk, eds.). Amsterdam: Emerald Group Publishing Limited, 2006.

[39] Chow, G. C. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions.”
*Econometrica*. Vol. 28, 1960, pp. 591–605.

[40] Christoffersen, P.F. *Elements of Financial Risk Management*. Waltham, MA: Academic Press, 2002.

[41] Clarke, K. A. "The Phantom Menace: Omitted Variable Bias in Econometric Research." *Conflict Management and Peace Science*. Vol. 22, 2005, pp. 341–352.

[43] Cochrane, J. “How Big is the Random Walk in GNP?”
*Journal of Political Economy*. Vol. 96, 1988, pp. 893–920.

[44] Congressional Budget Office, Budget and Economic Data, 10-Year Economic Projections, `https://www.cbo.gov/about/products/budget-economic-data#4`

.

[45] Cribari-Neto, F. "Asymptotic Inference Under Heteroskedasticity of Unknown Form." *Computational Statistics & Data Analysis*. Vol. 45, 2004, pp. 215-233.

[46] Cramér, H. *Mathematical Methods of Statistics*. Princeton, NJ: Princeton University Press, 1946.

[47] Dagum, E. B. *The X-11-ARIMA Seasonal Adjustment Method*. Number 12–564E. Statistics Canada, Ottawa, 1980.

[48] Davidson, R., and J. G. MacKinnon. *Econometric Theory and Methods*. Oxford, UK: Oxford University Press, 2004.

[49] Davidson, R., and E. Flachaire. "The Wild Bootstrap, Tamed at Last." *Journal of Econometrics.* Vol. 146, 2008, pp. 162–169.

[50] Del Negro, M., Schorfheide, F., Smets, F. and Wouters, R. "On the Fit of New Keynesian Models." *Journal of Business & Economic Statistics*. Vol. 25, No. 2, 2007, pp. 123–162.

[51] Diebold, F. X. *Elements of Forecasting*. Mason, OH: Thomson Higher Education, 2007.

[52] Diebold, F.X., and C. Li. "Forecasting the Term Structure of Government Bond Yields." *Journal of Econometrics*. Vol. 130, No. 2, 2006, pp. 337–364.

[53] Diebold, F. X., G. D. Rudebusch, and B. Aruoba (2006), "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach." *Journal of Econometrics.* Vol. 131, 2006, pp. 309–338.

[54] Diebold, F.X., and
G.D. Rudebusch. *Business Cycles: Durations, Dynamics, and Forecasting.*
Princeton, NJ: Princeton University Press, 1999.

[55] den Haan, W. J., and A. Levin. "A Practitioner's Guide to Robust Covariance Matrix Estimation." In *Handbook of Statistics*. Edited by G. S. Maddala and C. R. Rao. Amsterdam: Elsevier, 1997.

[56] Dickey, D. A., and W. A. Fuller. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.”
*Journal of the American Statistical Association*. Vol. 74, 1979, pp. 427–431.

[57] Dickey, D. A., and W. A. Fuller. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”
*Econometrica*. Vol. 49, 1981, pp. 1057–1072.

[58] Dowd, K. *Measuring Market Risk*. West Sussex: John Wiley & Sons, 2005.

[59] Durbin J., and S. J. Koopman. “A Simple and Efficient Simulation Smoother for State Space Time Series Analysis.”
*Biometrika*. Vol 89., No. 3, 2002, pp. 603–615.

[60] Durbin J., and S. J. Koopman. *Time Series Analysis by State Space Methods*. 2nd ed. Oxford: Oxford University Press, 2012.

[61] Durbin, J. and G.S. Watson. "Testing for Serial Correlation in Least Squares Regression." *Biometrika*. Vol. 37, 1950, pp. 409–428.

[62] Elder, J., and P. E. Kennedy. “Testing for Unit Roots: What Should Students Be Taught?”
*Journal of Economic Education*. Vol. 32, 2001, pp. 137–146.

[63] Embrechts, P., A. McNeil, and D. Straumann. "Correlation and Dependence in Risk Management: Properties and Pitfalls". *Risk Management: Value At Risk and Beyond*. Cambridge: Cambridge University Press, 1999, pp. 176–223.

[64] Enders, Walter. *Applied Econometric Time Series*. Hoboken, NJ: John Wiley & Sons, Inc., 1995.

[65] Engle, Robert. F. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” *Econometrica* 50 (July 1982): 987–1007. https://doi.org/10.2307/1912773.

[66] Engle, R. F. and C. W. J. Granger. “Co-Integration and Error-Correction: Representation, Estimation, and Testing.” Econometrica. v. 55, 1987, pp. 251–276.

[67] Engle, R. F., D. M. Lilien, and R. P. Robins. “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model.”
*Econometrica*. Vol. 59, 1987, pp. 391–407.

[68] Faust, J. “When Are Variance Ratio Tests for Serial Dependence Optimal?”
*Econometrica*. Vol. 60, 1992, pp. 1215–1226.

[69] Findley, D. F., B. C. Monsell, W. R. Bell, M. C. Otto, and B.-C. Chen. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program." *Journal of Business & Economic Statistics*. Vol. 16, Number 2, 1998, pp. 127–152 .

[70] Fisher, F. M. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note.”
*Econometrica*. Vol. 38, 1970, pp. 361–66.

[71] Fisher, R. A.. "Frequency Distribution of the Values of the Correlation Coefficient in Samples from an Indefinitely Large Population." *Biometrika*. Vol. 10, 1915, pp. 507–521.

[72] Fisher, R. A. "On the "Probable Error" of a Coefficient of Correlation Deduced from a Small Sample." *Metron*. Vol. 1, 1921, pp. 3–32.

[73] Fisher, R. A. "The Distribution of the Partial Correlation Coefficient." *Metron*. Vol. 3, 1924, pp. 329–332.

[74] Gallager, R.G. *Stochastic Processes: Theory for Applications.* Cambridge, UK: Cambridge University Press, 2013.

[75] Gallant, A. R. *Nonlinear Statistical Models*. Hoboken, NJ: John Wiley & Sons, Inc., 1987.

[76] Gilks, W. R., S. Richardson, and D.J. Spiegelhalter. *Markov Chain Monte Carlo in Practice.* Boca Raton: Chapman & Hall/CRC, 1996.

[77] Glasserman, P. *Monte Carlo Methods in Financial Engineering*. New York: Springer-Verlag, 2004.

[78] Glosten, L. R., R. Jagannathan, and D. E. Runkle. “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.”
*The Journal of Finance*. Vol. 48, No. 5, 1993, pp. 1779–1801.

[79] Godfrey, L. G. *Misspecification Tests in Econometrics*. Cambridge, UK: Cambridge University Press, 1997.

[80] Gourieroux, C. *ARCH Models and Financial Applications*. New York: Springer-Verlag, 1997.

[81] Goutte, C. "Note on Free Lunches and Cross-Validation." *Neural Computation*. Vol. 9, 1997, pp. 1211–1215.

[82] Granger, C., and P. Newbold. "Forecasting Transformed Series." *Journal of the Royal Statistical Society*. Series B, Vol. 38, 1976, pp. 189–203.

[83] Granger, C. W. J., and P. Newbold. "Spurious Regressions in Econometrics." *Journal of Econometrics*. Vol. 2, 1974, pp. 111–120.

[84] Greene, William. H. *Econometric Analysis*. 6th ed. Upper Saddle River, NJ: Prentice Hall, 2008.

[85] Goldberger, A. T. *A Course in Econometrics*. Cambridge, MA: Harvard University Press, 1991.

[86] Goldfeld, S. M., and Quandt, R. E. "Some Tests for Homoscedasticity". *Journal of the American Statistical Association*. v. 60, 1965, pp. 539–547.

[87] Hagerud, G. E. “Modeling Nordic Stock Returns with Asymmetric GARCH.”
*Working Paper Series in Economics and Finance*. No. 164, Stockholm: Department of Finance, Stockholm School of Economics, 1997.

[88] Hagerud, G. E. “Specification Tests for Asymmetric GARCH.”
*Working Paper Series in Economics and Finance*. No. 163, Stockholm: Department of Finance, Stockholm School of Economics, 1997.

[89] Haggstrom, O. *Finite Markov Chains and Algorithmic Applications.* Cambridge, UK: Cambridge University Press, 2002.

[90] Hamilton, J. D. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle." *Econometrica*. Vol. 57, 1989, pp. 357–384.

[91] Hamilton, J. D. "Analysis of Time Series Subject to Changes in Regime." *Journal of Econometrics*. Vol. 45, 1990, pp. 39–70.

[92] Hamilton, James D. *Time Series Analysis*. Princeton, NJ: Princeton University Press, 1994.

[93] Hamilton, J. D. "Macroeconomic Regimes and Regime Shifts." In *Handbook of Macroeconomics*. (H. Uhlig and J. Taylor, eds.). Amsterdam: Elsevier, 2016.

[94] Hannan, Edward J., and Barry G. Quinn. “The Determination of the Order of an Autoregression.” *Journal of the Royal Statistical Society: Series B (Methodological)* 41, no. 2 (January 1979): 190–95. https://doi.org/10.1111/j.2517-6161.1979.tb01072.x.

[95] Hart, J. D. "Kernel Regression Estimation With Time Series Errors." *Journal of the Royal Statistical Society*. Series B, Vol. 53, 1991, pp. 173–187.

[96] Hastie, T., R. Tibshirani, and J. Friedman. *The Elements of Statistical Learning*. New York: Springer, 2008.

[97] Haug, A. “Testing Linear Restrictions on Cointegrating Vectors: Sizes and Powers of Wald Tests in Finite Samples.”
*Econometric Theory*. Vol. 18, 2002, pp. 505–524.

[98] Helwege, J., and P. Kleiman. "Understanding Aggregate Default Rates of High Yield Bonds." Federal Reserve Bank of New York * Current Issues in Economics and Finance*. Vol. 2, No. 6, 1996, pp. 1–6.

[99] Hendry, D. F. *Econometrics: Alchemy or Science?* Oxford: Oxford University Press, 2001.

[100] Hentschel, L. "All in the Family: Nesting Symmetric and Asymmetric GARCH Models." *Journal of Financial Economics*. Vol. 39, 1995, pp. 71–104.

[101] Hibbs, D. "Problems of Statistical Estimation and Causal Inference in Dynamic Time Series Models." In Costner, H. (Ed.) *Sociological Methodology*. San Francisco: Jossey-Bass, 1974.

[102] Hoerl, A. E., and R. W. Kennard. "Ridge Regression: Applications to Nonorthogonal Problems." *Technometrics*. Vol. 12, No. 1, 1970, pp. 69–82.

[103] Hull, J. C. *Options, Futures, and Other Derivatives*. 5th ed. Englewood Cliffs, NJ: Prentice Hall, 2002.

[104] Hodrick, Robert J, and Edward C. Prescott. "Postwar U.S.
Business Cycles: An Empirical Investigation." *Journal of Money, Credit, and
Banking*. Vol. 29, No. 1, 1997, pp. 1–16.

[105] Horn, R., and C. R.
Johnson. *Matrix Analysis.* Cambridge, UK: Cambridge University Press,
1985.

[107] Inder, B. A. "Finite Sample Power of Tests for Autocorrelation in Models Containing Lagged Dependent Variables." *Economics Letters*. Vol. 14, 1984, pp.179–185.

[108] Jarrow, A. *Finance Theory*. Englewood Cliffs, NJ: Prentice-Hall, 1988.

[109] Jarvis, J. P., and D.
R. Shier. "Graph-Theoretic Analysis of Finite Markov Chains." In *Applied Mathematical
Modeling: A Multidisciplinary Approach.* Boca Raton: CRC Press, 2000.

[110] Johansen, S. *Likelihood-Based Inference in Cointegrated Vector Autoregressive Models*. Oxford: Oxford University Press, 1995.

[111] Johnson, N. L., S. Kotz, and N. Balakrishnan. *Continuous Univariate Distributions*. Vol. 2, 2nd ed. New York: John Wiley & Sons, 1995.

[112] Johnston, J. *Econometric Methods*. New York: McGraw-Hill, 1972.

[113] Jonsson, J. G., and M. Fridson. "Forecasting Default Rates on High Yield Bonds." *Journal of Fixed Income*. Vol. 6, No. 1, 1996, pp. 69–77.

[114] Judge, G. G., W. E. Griffiths, R. C. Hill, H. Lϋtkepohl, and T. C. Lee. *The Theory and Practice of Econometrics*. New York, NY: John Wiley & Sons, Inc., 1985.

[115] Juselius, K. *The Cointegrated VAR Model*. Oxford: Oxford University Press, 2006.

[116] Kennedy, P. *A Guide to Econometrics*. 6th ed. New York: John Wiley & Sons, 2008.

[117] Keuzenkamp, H. A., and M. McAleer. "Simplicity, Scientific Inference and Economic Modeling." *Economic Journal*. Vol. 105, 1995, pp. 1–21.

[118] Kiefer, N. M., T. J. Vogelsang, and H. Bunzel. "Simple Robust Testing of Regression Hypotheses." *Econometrica*. Vol. 68, 2000, pp. 695–714.

[119] Kim, C.-J. "Dynamic Linear Models with Markov Switching." *Journal of Econometrics*. Vol. 60, 1994, pp. 1–22.

[120] Kimball, M. "The Quantitative Analytics of the Basic Neomonetarist Model." *Journal of Money, Credit, and Banking, Part 2: Liquidity, Monetary Policy, and Financial Intermediation*. Vol. 27, No. 4, 1995, pp. 1241–1277.

[121] King, M. L. "Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression." *Annals of Statistics*. Vol. 8, 1980, pp. 1265–1271.

[122] Kole, E. "Regime Switching Models: An Example for a Stock Market Index." Rotterdam, NL: Econometric Institute, Erasmus School of Economics, 2010.

[123] Koyck, L. M. *Distributed Lags Models and Investment Analysis*. Amsterdam: North-Holland, 1954.

[124] Krolzig, H.-M. *Markov-Switching Vector Autoregressions*. Berlin: Springer, 1997.

[125] Krolzig, H. -M., and Hendry, D.F. "Computer Automation of General-To-Specific Model Selection Procedures." *Journal of Economic Dynamics & Control*. Vol. 25, 2001, pp. 831–866.

[126] Kutner, M. H., C. J. Nachtsheim, J. Neter, and W. Li. *Applied Linear Statistical Models*. 5th Ed. New York: McGraw-Hill/Irwin, 2005.

[127] Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root.”
*Journal of Econometrics*. Vol. 54, 1992, pp. 159–178.

[128] Leybourne, S. J. and B. P. M. McCabe. “A Consistent Test for a Unit Root.”
*Journal of Business and Economic Statistics*. Vol. 12, 1994, pp. 157–166.

[129] Leybourne, S. J. and B. P. M. McCabe. “Modified Stationarity Tests with Data-Dependent Model-Selection Rules.”
*Journal of Business and Economic Statistics*. Vol. 17, 1999, pp. 264–270.

[131] Litterman, Robert B. "Forecasting with Bayesian Vector Autoregressions: Five Years of Experience." *Journal of Business and Economic Statistics* 4, no. 1 (January 1986): 25–38. https://doi.org/10.2307/1391384.

[132] Ljung, G. and G. E. P. Box. "On a Measure of Lack of Fit in Time Series Models." *Biometrika*. Vol. 66, 1978, pp. 67–72.

[133] Lo, A. W., and A. C. MacKinlay. “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.”
*Review of Financial Studies*. Vol. 1, 1988, pp. 41–66.

[134] Lo, A. W., and A. C. MacKinlay. “The Size and Power of the Variance Ratio Test.”
*Journal of Econometrics*. Vol. 40, 1989, pp. 203–238.

[135] Lo, A. W., and A. C. MacKinlay. *A Non-Random Walk Down Wall St.* Princeton, NJ: Princeton University Press, 2001.

[136] Loeffler, G., and P. N. Posch. *Credit Risk Modeling Using Excel and VBA*. West Sussex, England: Wiley Finance, 2007.

[137] Long, J. S., and L. H. Ervin. "Using Heteroscedasticity-Consistent Standard Errors in the Linear Regression Model." *The American Statistician*. v. 54, 2000, pp. 217-224.

[138] Longstaff, F. A., and E. S. Schwartz. “Valuing American Options by Simulation: A Simple Least-Squares Approach.”
*The Review of Financial Studies*. Spring 2001, Vol. 14, No. 1, pp. 113–147.

[139] Lütkepohl, H. *New Introduction to Multiple Time Series Analysis*. Berlin: Springer, 2005.

[140] Lütkepohl, Helmut, and Markus Krätzig, editors. *Applied Time Series Econometrics*. 1st ed. Cambridge University Press, 2004. https://doi.org/10.1017/CBO9780511606885.

[141] MacKinnon, J. G. "Numerical Distribution Functions for Unit Root and Cointegration Tests." *Journal of Applied Econometrics*. Vol. 11, 1996, pp. 601–618.

[142] MacKinnon, J. G., and H. White. "Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties." *Journal of Econometrics*. Vol. 29, 1985, pp. 305–325.

[143] Maddala, G. S., and
I. M. Kim. *Unit Roots, Cointegration, and Structural Change.* Cambridge,
UK: Cambridge University Press, 1998.

[144] Maeshiro, A. "Teaching Regressions with a Lagged Dependent Variable and Autocorrelated Disturbances." *Journal of Economic Education*. Vol. 27, 1996, pp. 72–84.

[145] Maeshiro, A. "An Illustration of the Bias of OLS for *Y*_{t} = *λ**Y*_{t–1}+*U*_{t}." *Journal of Economic Education*. Vol. 31, 2000, pp. 76–80.

[146] Malinvaud, E. *Statistical Methods of Econometrics*. Amsterdam: North-Holland, 1970.

[147] Marriott, F. and J. Pope. "Bias in the Estimation of Autocorrelations." *Biometrika*. Vol. 41, 1954, pp. 390–402.

[148] Mashal, R. and A. Zeevi. "Beyond Correlation: Extreme Co-movements between Financial Assets." Columbia University, New York, 2002.

[149] McCullough, B. D., and C. G. Renfro. “Benchmarks and Software Standards: A Case Study of GARCH Procedures.”
*Journal of Economic and Social Measurement*. Vol. 25, 1998, pp. 59–71.

[150] McLeod, A.I. and W.K. Li. “Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations.”*Journal of Time Series Analysis*. Vol. 4, 1983, pp. 269–273.

[151] McNeil, A. and R. Frey. "Estimation of Tail Related Risk Measure for Heteroscedastic Financial Time Series: An Extreme Value Approach." *Journal of Empirical Finance*. Vol. 7, 2000, pp. 271–300.

[152] Moler, C. *Numerical Computing with MATLAB*. Philadelphia, PA: Society for Industrial and Applied Mathematics, 2004.

[153] Montgomery, J. *Mathematical Models of Social Systems.* Unpublished manuscript. Department of Sociology, University of Wisconsin-Madison, 2016.

[154] Morin, N. "Likelihood Ratio Tests on Cointegrating Vectors, Disequilibrium Adjustment Vectors, and their Orthogonal Complements."* European Journal of Pure and Applied Mathematics*. v. 3, 2010, pp. 541–571.

[155] National Bureau of Economic Research (NBER), *Business
Cycle Expansions and Contractions*, `https://www.nber.org/research/data/us-business-cycle-expansions-and-contractions`

.

[156] Nelson, D. B. “Conditional Heteroskedasticity in Asset Returns: A New Approach.”
*Econometrica*. Vol. 59, 1991, pp. 347–370.

[157] Nelson, D. B. "Conditional Heteroskedasticity in Asset Returns: A New Approach." *Econometrica.*. Vol. 59, No. 2, 1991, pp. 347–370.

[158] Nelson, C., and C. Plosser. "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications." *Journal of Monetary Economics*. Vol. 10, 1982, pp. 130–162.

[159] Nelson, R. C., and A. F. Siegel. "Parsimonious Modeling of Yield Curves." *Journal of Business.* Vol. 60, No. 4, 1987, pp. 473–489.

[160] Newey, W. K., and K. D. West. “A Simple Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.”
*Econometrica*. Vol. 55, 1987, pp. 703–708.

[161] Newey, W. K, and K. D. West. “Automatic Lag Selection in Covariance Matrix Estimation.”
*The Review of Economic Studies*. Vol. 61, No. 4, 1994, pp. 631–653.

[162] Norris, J. R. *Markov Chains.* Cambridge, UK: Cambridge University Press, 1997.

[163] Nystrom, K. and J. Skoglund. "Univariate Extreme Value Theory, GARCH and Measures of Risk." Preprint, submitted 2002.

[164] Nystrom, K. and J. Skoglund. "A Framework for Scenario-Based Risk Management." Preprint, submitted 2002.

[165] Pankratz, A. *Forecasting with Dynamic Regression Models.* John Wiley & Sons, 1991˙.

[166] Park, T. and G. Casella. “The Bayesian Lasso.”
*Journal of American Statistical Association*. Vol. 103, 2008, pp. 681–686.

[167] Ng, S., and P. Perron. “Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag.”
*Journal of the American Statistical Association*. Vol. 90, 1995, pp. 268–281.

[168] Park, R. E. "Estimation with Heteroscedastic Error Terms". *Econometrica*. 34, 1966 p. 888.

[169] Perron, P. “Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach.”
*Journal of Economic Dynamics and Control*. Vol. 12, 1988, pp. 297–332.

[170] Pesaran, H. H., and Y. Shin. "Generalized Impulse Response
Analysis in Linear Multivariate Models." *Economic Letters.* Vol. 58, 1998,
pp. 17–29.

[171] Peters, J. P. “Estimating and Forecasting Volatility of Stock Indices Using Asymmetric GARCH Models and Skewed Student-t Densities.” Working Paper. Belgium: École d'Administration des Affaires, University of Liège, March 20, 2001.

[172] Phillips, P. “Time Series Regression with a Unit Root.”
*Econometrica*. Vol. 55, 1987, pp. 277–301.

[173] Phillips, P., and P. Perron. “Testing for a Unit Root in Time Series Regression." *Biometrika*. Vol. 75, 1988, pp. 335–346.

[174] Qin, H., and A. T. K. Wan. "On the Properties of the *t*- and *F*-Ratios in Linear Regressions with Nonnormal Errors." *Econometric Theory*. Vol. 20, No. 4, 2004, pp. 690–700.

[175] Rea, J. D. "Indeterminacy of the Chow Test When the Number of Observations is Insufficient." *Econometrica*. Vol. 46, 1978, p. 229.

[176] Roncalli, T., A. Durrleman, and A. Nikeghbali. "Which Copula Is the Right One?" Groupe de Rech. Oper., Credit Lyonnais, Paris, 2000.

[177] Schwert, W. "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data." *Journal of Monetary Economics*. Vol. 20, 1987, pp. 73–103.

[178] Schwarz, Gideon. “Estimating the Dimension of a Model.” *The Annals of Statistics* 6, no. 2 (March 1978): 461–64. https://doi.org/10.1214/aos/1176344136.

[179] Schwert, W. “Tests for Unit Roots: A Monte Carlo Investigation.”
*Journal of Business and Economic Statistics*. Vol. 7, 1989, pp. 147–159.

[180] Shao, J. "An Asymptotic Theory for Linear Model Selection." *Statistica Sinica*. Vol. 7, 1997, pp. 221–264.

[181] Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.”
*Journal of Finance*. Vol. 19, 1964, pp. 425–442.

[182] Shreve, S. E. *Stochastic Calculus for Finance II: Continuous-Time Models*. New York: Springer-Verlag, 2004.

[183] Sims, C., Stock, J., and Watson, M. "Inference in Linear Time Series Models with Some Unit Roots." *Econometrica*. Vol. 58, 1990, pp. 113–144.

[184] Smets, F. and Wouters, R. "An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area." *European Central Bank, Working Paper Series*. No. 171, 2002.

[185] Smets, F. and Wouters, R. "Comparing Shocks and Frictions in US and Euro Area Business Cycles: A Bayesian DSGE Approach." *European Central Bank, Working Paper Series*. No. 391, 2004.

[186] Smets, F. and Wouters, R. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach." *European Central Bank, Working Paper Series*. No. 722, 2007.

[187] Strang, G. *Linear Algebra and Its Applications*. 4th ed. Pacific Grove, CA: Brooks Cole, 2005.

[188] Stone, M. "An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaike's Criterion." *Journal of the Royal Statistical Society*. Series B, Vol. 39, 1977, pp. 44–47.

[189] Stone, R. "The Analysis of Market Demand." *Journal of the Royal Statistical Society*. Vol. 108, 1945, pp. 1–98.

[191] Tibshirani, R. "Regression Shrinkage and Selection via the Lasso." *Journal of Royal Statistical Society.* Vol. 58, 1996, pp. 267–288.

[192] Tsay,R.S. *Analysis of Financial Time Series*. Hoboken, NJ: John Wiley & Sons, Inc., 2005.

[193] Turner, P. M. "Testing for Cointegration Using the Johansen Approach: Are We Using the Correct Critical Values?" *Journal of Applied Econometrics*. v. 24, 2009, pp. 825–831.

[194] U.S. Federal Reserve Economic Data (FRED), Federal Reserve Bank of St. Louis, `https://fred.stlouisfed.org/`

.

[196] Weisberg, S. *Applied Linear Regression*. Hoboken, NJ: John Wiley & Sons, Inc., 2005.

[197] Wielandt, H. *Topics in the Analytic Theory of Matrices.* Lecture notes prepared by R. Mayer. Department of Mathematics, University of Wisconsin-Madison, 1967.

[198] White, H. "A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity." *Econometrica*. v. 48, 1980, pp. 817–838.

[199] White, J. S. "Asymptotic Expansions for the Mean and Variance of the Serial Correlation Coefficient." *Biometrika*. Vol 48, 1961, pp. 85–94.

[200] White, H. *Asymptotic Theory for Econometricians*. New York: Academic Press, 1984.

[201] White, H., and I. Domowitz. “Nonlinear Regression with Dependent Observations.”
*Econometrica*. Vol. 52, 1984, pp. 143–162.

[202] Wilson, A. L. "When is the Chow Test UMP?" *The American Statistician*. Vol. 32, 1978, pp. 66–68.

[203] Wold, H. *A Study in the Analysis of Stationary Time Series*. Uppsala, Sweden: Almqvist & Wiksell, 1938.

[204] Wooldridge, J. M. *Introductory Econometrics*. Cincinnati, OH: South-Western, 2009.