VAR Models: Estimation, Inferences, and Applications
Author:
Wu Yangru,Zhou Xing
Publisher
Springer New York
Reference50 articles.
1. Baillie, R., & Bollwerslev, T. (1989). Common stochastic trends in a system of exchange rates. Journal of Finance, 44, 167–181.
2. Beckers, S. (1981). Standard deviations implied in option prices as predictors of future stock price variability. Journal of Banking and Finance, 5, 363–381.
3. Bekaert, G., & Hodrick, R. (1992). Characterizing predictable components in excess returns on equity and foreign exchange markets. Journal of Finance, 47, 467–509.
4. Black, F. (1975). Fact and fantasy in the use of options. Financial Analysts Journal, 31(36–41), 61–72.
5. Campbell, J., & Shiller, R. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95, 1062–1088.