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Brock, W., W. D. Dechert, and J. Scheinkman (1987), A Test for Independence Based on the Correlation Dimension, Economics Working Paper SSRI8702, University of Wisconsin. _______ D. Hsieh, and L. LeBaron (1991), Nonlinear Dynamics, Chaos and
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Hamilton, J. (1988), Rational Expectations Econometric Analysis of Changes in Regimes: An Investigation of the Term Structure of Interest Rates, Journal of Economic Dynamics and Control, 12, 385423.
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Heath, D., R. Jarrow, and A. Morton (1992), Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica, 60, 77105.
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Hodrick, P. J. (1987), Risk, Uncertainty, and Exchange Rates, NBER working paper no. 2429. 17
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Hsieh, D. (1991), Chaos and Nonlinear Dynamics: Application to Financial
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Markets, Journal of Finance, 46:5, 18391877. _______ and B. LeBaron (1988), Finite Sample Properties of the BDS
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LeBaron, B., (1988), The Changing Structure of Stock Returns, Working Paper, University of Wisconsin.
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Nason, J. M. (1988), The Equity Premium and Timevarying Risk Behavior, Finance and Economics Discussion Series no. 8, Federal Reserve Board.
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Newey, W. and K. West (1987), A Simple, Positive Semidefinite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703708. 18
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Pfann, G.A., P. C. Schotman, and R. Tschernig (1996), Nonlinear Interest Rate Dynamics and Implications for the Term Structure, Journal of Econometrics, 74, 149176.
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Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277301. _______ and P. Perron (1988), Testing for a Unit Root in Time Series
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Regression, Biometrika, 75, 335346.
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Sims, C. A. (1984), Martingalelike Behavior of Prices and Interest Rates, Discussion paper no. 205, Dept. of Economics, University of Minnesota, Minneapolis, MN
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Stone, C. J. (1977), Consistent nonparametric regression, Annals of Statistics, 5, 595645. 19
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