Reference: | Albert, J. H., and Chib, S. (1993) “Bayesian Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts.” Journal of Business and Economic Statistics, 11(1), 1-15. Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroscedasticity.” Journal of Econometrics, 31, 307-327. Campbell, J. Y., Lo, A. W. and MacKinlay A. C. (1997) The Econometrics of Financial Markets., Princeton University Press Casella, G. and George, E. I. (1993) “Explaining the Gibbs Sampler.” The American Statistician, 46(3), 167-174. Chib, S. and Greenberg, E. (1996) “Markov Chain Monte Carlo Simulation Methods in Econometrics.” Econometric Theory, 12, 409-431. Cochrane, J. H. (1988) “How big is the random walk in GNP?” Journal of Political Economy, 96, 893-920. Dickey, D. A., and Fuller, W. A. (1979) “Distribution of the Estimates for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association, 427-431. Draper, P. and Fung, J. K. W. (2002) “A Study of Arbitrage Efficiency Between the FTSE-100 Index Futures and Options Contracts.” Journal of Futures Markets, 22(1), 31-58. Enders, W. (1995) Applied Econometric Time Series. Wiley Engle, R. F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica, 50, 987-1007. de Roon, F. and Chris Veld, (1996) “Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index.” Journal of Futures Markets, 16(1), 71-80. Franses, P. H. and Dijk, D. V. (2000) Nonlinear Time Series Models in Empirical Finance. Cambridge University Press Finucane, T. J. (199) “Put-Call Parity and Expected Returns.” Journal of Financial Quantitative Analysis, 26(4), 445-457. Fung, J. K. W. and Chan, K. C. (1994) “On the Arbitrage-free Pricing Relationship Between Index Futures and Index Options: A note.” Journal of Futures Markets, 14(8), 957–962. Gefland, A. E. and Smith, A. F. M. (1990) “Sampling Based Approaches to Calculating Marginal Densities.” Journal of American Statistical Association, 85, 398-409. Gefland, A. E., Smith, A. F. M. and Lee, T. M. (1990) “Bayesian Analysis of Constrained Parameters and Truncated Data Problems Using Gibbs Sampling.” Journal of American Statistical Association, 87, 523-532. Geman, S. and Geman, D. (1984) “Stochastic Relaxation, Gibbs Distributions and the Bayesian Restoration of Images.” IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721-741. Goldfeld, S. M. and Quandt, R. E. (1973) “A Markov Model for Switching Regressions.” Journal of Econometrics, 1, 3-16. Graflund, Andreas (2002) “A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market.” Department of Economics, Lund University Hamilton, J. D. (1994) Time Series Analysis. Princeton University Press. Hamilton, J. D. (1989) “A new Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica, 57(2), 357-384. Hamilton, J. D. (1990) “Analysis of Time Series subject to Changes in Regime.” Journal of Econometrics, 45, 39-70. Hamilton, J. D. (1991) “A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions.” Journal of Business and Economic Statistics, 19, 23-39. Hamilton, J. D. and Susmel, R. (1994) “Autoregressive Conditional Heteroskedasticity and Changes in Regime.” Journal of Econometrics, 64, 307-333. Hull, J. C. (2000) Options, Futures, & Other Derivatives 4th ed. Prentice Hall Kamara, A. and Miller, T. W. (1995) “Daily and Intradaily Tests of European Put-Call Parity.” Journal of Financial and Quantitative Analysis, 30(4), 519-539. Kim, C. J. and Nelson, C. R. (1999) State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications., MIT Press Kim, C. J. and Nelson, C. R. (1998) “Business Cycle Turning Points, a New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model with Regime Switching.” The Review of Economics and Statistics, 80(2), 188-201. Kim, C. J. and Nelson, C. R. (1998) “Testing for mean Reversion in heteroskedastic data II: Autocorrelation Tests based on Gibbs-Sampling-Augmented Randomization.” Journal of Empirical Finance, 5(2), 385-396. Kim, C. J., Nelson, C. R. and Startz, R. (1991) “Mean reversion in stock prices? A Reappraisal of the Empirical Evidence” Review of Economic Studies, 58, 515-528. Kim, C. J., Nelson, C. R. and Startz, R. (1998) “Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization” Journal of Empirical Finance, 5(2), 131-154. Kuan, C. M. “Lecture on the Markov Switching Model.” Institute of Economics Academia Sinica. Lo, A. W. and MacKinlay, A. C. (1988) “Stock Market Prices do not follow Random Walks: Evidence from a Simple Specification Test.” The Review of Financial Studies, 1, 41-66. Lo, A. W. and MacKinlay, A. C. (1989) “The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.” Journal of Econometrics, 45, 203-238. Malliaropulos, D. and Priestley, R. (1999) “Mean Reversion in Southeast Asian Stock Markets.” Journal of Empirical Finance, 6, 355-384. Neal, R. (1996) “Direct Tests of Index Arbitrage Models.” Journal of Financial and Quantitative Analysis, 31(4), 541-562. Noreen, E. W. (1989) Computer-Intensive Methods for Testing Hypotheses: An Introduction. Wiley Poterba, J. M. and Summers, L. H. (1988) “Mean Reversion in Stock Prices: Evidence and Implications.” Journal of Financial Economics, 22(1), 27-60. Stoll, H. R. (1969) “The Relationship between Put and Call Prices.” Journal of Finance, 24, 810-822. Tsay, R. S. (2002) Analysis of Financial Time Series. Wiely Zivney, T. L. (1991) “The Value of Early Exercise in Option Prices: An Empirical Investigation.” Journal of Financial and Quantitative Analysis, 26(1), 129-138. |