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- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, .
"Stochastic volatility: likelihood inference and comparison with ARCH models,"
W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
- Koenker, Roger, 1988. "Asymptotic Theory and Econometric Practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 139-47, April.
- Francis X. Diebold & Glenn D. Rudebusch, 1994.
"Measuring Business Cycles: A Modern Perspective,"
NBER Working Papers
4643, National Bureau of Economic Research, Inc.
- Diebold, Francis X., 1992. "Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 Fore Casting, Structural Time Series Models and The Kalman Filter Adrew C. Harvey Ca," Econometric Theory, Cambridge University Press, vol. 8(02), pages 293-299, June.
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