1. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September. [Downloadable!] (restricted)
2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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   • Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July. [Downloadable!] (restricted)
4. Carter, C.K. & Kohn, R., . "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
5. Evans, Martin D D & Lewis, Karen K, 1995. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 709-42. [Downloadable!] (restricted)
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   • Martin D.D. Evans & Karen K. Lewis, 1993. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," Working Papers 93-12, New York University, Leonard N. Stern School of Business, Department of Economics.
   • Lewis, K. & Evans, M.D.D., 1993. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," Weiss Center Working Papers 93-12, Wharton School - Weiss Center for International Financial Research.
6. Van Dijk, H.K. & Koop, G., 1999. "Testing for Integration Using Evolving Trend and Seasonals Models : A Bayesian Approach," Papers 9934/a, Erasmus University of Rotterdam - Econometric Institute.
   Other versions:
   • Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute. [Downloadable!]
   • G. Koop & H.K. van Dijk, 1999. "Testing for integration using evolving trend and seasonal models A Bayesian approach," Econometric Institute Report 163, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   • Gary Koop & Herman K. van Dijk & Henk Hoek, 1997. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 97-078/4, Tinbergen Institute. [Downloadable!]
   • Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August. [Downloadable!] (restricted)
7. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De. [Downloadable!] (restricted)
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   • Kleibergen, F. & Van Dijk, H.K., 1992. "Nonstationarity in Garch Models: A Bayesian Analysis," Papers 9277-a, Erasmus University of Rotterdam - Econometric Institute.
8. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02. [Downloadable!] (restricted)
9. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
10. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C23-C46.
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    • Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on Garch Models Using the Gibbs Sampler," Papers 9627, Catholique de Louvain - Center for Operations Research and Economics.
    • Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M. 96a21, Universite Aix-Marseille III.
11. McCulloch, Robert & Rossi, Peter E., 1991. "A bayesian approach to testing the arbitrage pricing theory," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 141-168. [Downloadable!] (restricted)
12. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    Other versions:
    • Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
13. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(1), pages 1-53. [Downloadable!] (restricted)
    Other versions:
    • Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991. "Bayesian Inference and Portfolio Efficiency," Weiss Center Working Papers 8-91, Wharton School - Weiss Center for International Financial Research.
14. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA. [Downloadable!]
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    • Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
15. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 557-87. [Downloadable!] (restricted)
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    • John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
16. Bansal, Ravi & Dahlquist, Magnus, 2000. "The forward premium puzzle: different tales from developed and emerging economies," Journal of International Economics, Elsevier, vol. 51(1), pages 115-144, June. [Downloadable!] (restricted)
17. McCulloch, Robert & Rossi, Peter E., 1990. "Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 7-38. [Downloadable!] (restricted)
18. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-18, March.
19. Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January. [Downloadable!] (restricted)
20. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
21. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
22. Bansal, Ravi, 1997. "An Exploration of the Forward Premium Puzzle in Currency Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 369-403.
23. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October. [Downloadable!] (restricted)
24. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
    Other versions:
    • Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    • Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    • Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA. [Downloadable!]
25. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)
26. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
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    • Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
27. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers 2169, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
28. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

Cited by:
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1. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "On the Variation of Hedging Decisions in Daily Currency Risk Management," Tinbergen Institute Discussion Papers 01-018/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Report 206, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
2. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute. [Downloadable!]
3. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183. [Downloadable!] (restricted)
4. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Report 278, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
5. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008. [Downloadable!]
6. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute. [Downloadable!]
7. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
   Other versions:
   • Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute. [Downloadable!]