The 6 linked 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. Baldwin, R. and R. Lyons (1988), The Mutual Amplification Effect of Exchange
  2. Bollerslev, T. (1986), Generalized Autoregressive Conditional
  3. Cleveland, W. S., S. Devlin, and E. Grosse (1988), Regression by Local Fitting:
  4. Oxford University Press.
  5. Hsieh, D. (1991), Chaos and Nonlinear Dynamics: Application to Financial
  6. Meese, R. A. and A. K. Rose (1990), Nonlinear, Nonparametric, Nonessential