The 49 references in paper John Barkoulas, Christopher F. Baum, Joseph Onochie (1996) “Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate” / RePEc:boc:bocoec:320

1
Abel, A. B. (1988), Stock Prices under Time Varying Dividend Risk: An Exact Solution in an Infinite Horizon General Equilibrium Model, Journal of
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2
Monetary Economics, 22, 375-393.
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3
Anderson, H. M. (1994), Transaction Costs and Nonlinear Adjustment
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4
Towards Equilibrium in the US Treasury Bill Market, Technical report, University of Texas, Austin, TX.
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5
Baldwin, R. and R. Lyons (1988), The Mutual Amplification Effect of Exchange
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6
Rate Volatility and Unresponsive Trade Prices, NBER working paper no. 2677.
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7
Bollerslev, T. (1986), Generalized Autoregressive Conditional
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8
Heteroskedasticity, Journal of Econometrics, 31:307.327.
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9
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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10
Instability, Cambridge: MIT Press.
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11
Cleveland, W. S. (1979), Robust Locally Weighted Regression and Smoothing
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12
Scatterplots, Journal of the American Statistical Association, 74:829-836.
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13
Cleveland, W. S. and S. J. Devlin (1988), Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting, Journal of the
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14
American Statistical Association, 83, 596-610.
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15
Cleveland, W. S., S. Devlin, and E. Grosse (1988), Regression by Local Fitting:
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16
Methods, Properties, and Computational Algorithms, Journal of Econometrics, 37, 87-114. -16-
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17
Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985a), An Intertemporal General
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18
Equilibrium Model of Asset Prices, Econometrica, 53:363-384. _________, A Theory of the Term Structure of Interest Rates, Econometrica, 53:385-407.
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19
Das, S. R. (1993), Mean Rate Shifts and Alternative Models of the Interest Rate: Theory and Evidence, Working paper, Stern School of Business, New York,
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20
Dechert, W. (1988), A Characterization of Independence for a Gaussian Process in Terms of the Correlation Dimension, SSRI Working Paper 8812, University of Wisconsin at Madison.
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21
Dickey, D.A. and W.A. Fuller (1979), Distribution of estimators for autoregressive time series with a unit root, Journal of the American
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22
Statistical Association, 84, 427-431.
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23
Diebold, F. X. and J. Nason (1990), Nonparametric Exchange Rate Prediction, Journal of International Economics, 28:3-4, 315-332.
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24
Fuller W. (1976), Introduction to Statistical Time Series, New York: John Wiley & Sons.
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25
Granger, C. W. J. (1993), Modelling Non-linear Economic Relationships, Oxford:
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26
Oxford University Press.
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27
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, 385-423.
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28
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, 77-105.
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29
Hodrick, P. J. (1987), Risk, Uncertainty, and Exchange Rates, NBER working paper no. 2429. -17-
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30
Hsieh, D. (1991), Chaos and Nonlinear Dynamics: Application to Financial
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31
Markets, Journal of Finance, 46:5, 1839-1877. _______ and B. LeBaron (1988), Finite Sample Properties of the BDS
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32
Statistic, Working Paper, University of Chicago and University of Wisconsin at Madison.
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33
Kendall, M. and A. S. Stuart (1977), The Advanced Theory of Statistics, New York: Macmillan.
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34
Kozicki, S. (1994), A Nonlinear Model of the Term Structure, Working paper, Federal Reserve Board, Washington,
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35
LeBaron, B., (1988), The Changing Structure of Stock Returns, Working Paper, University of Wisconsin.
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36
Longstaff, F.A. and E.S. Schwartz (1992), Interest Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model, Journal of Finance, 47:1259-1282.
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37
Meese, R. A. and A. K. Rose (1990), Nonlinear, Nonparametric, Nonessential
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38
Exchange Rate Estimation, American Economic Review Papers and Proceedings, 14, 192-196.
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39
Merton, M. C. (1973), The theory of rational option pricing, Bell Journal of Economics and Management Science, 4, 141-183.
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40
Naik, V. and M. H. Lee (1993), The Yield Curve and Bond Option Prices with
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41
Discrete Shifts in Economic Regimes, Working paper, University of
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42
British Columbia, Vancouver.
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43
Nason, J. M. (1988), The Equity Premium and Time-varying Risk Behavior, Finance and Economics Discussion Series no. 8, Federal Reserve Board.
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44
Newey, W. and K. West (1987), A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703-708. -18-
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45
Pfann, G.A., P. C. Schotman, and R. Tschernig (1996), Nonlinear Interest Rate Dynamics and Implications for the Term Structure, Journal of Econometrics, 74, 149-176.
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46
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277-301. _______ and P. Perron (1988), Testing for a Unit Root in Time Series
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47
Regression, Biometrika, 75, 335-346.
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48
Sims, C. A. (1984), Martingale-like Behavior of Prices and Interest Rates, Discussion paper no. 205, Dept. of Economics, University of Minnesota, Minneapolis, MN
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49
Stone, C. J. (1977), Consistent non-parametric regression, Annals of Statistics, 5, 595-645. -19-
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