Barsky, R.B 670
Bartel, H 314, 315
Barucci, E 838
Bass, F.M 995, 999–1001
Bassanetti, A 535, 896
Basset, G 462
Basu, A.K 318
Batchelor, R 731n; 733, 741, 742, 758
Bates, D.S 798, 864
Bates, J.M 23, 137, 138, 159, 165, 181, 185,
439, 520–522, 537, 635, 883, 933
Battle, C 797
Bauer, D 294, 305, 312
Bauwens, L 813, 851, 852
Baxter, M 888, 889
Bayarri, M.J 17, 18
Bazen, S 353
Beaulieu, J.J 662, 667, 668, 670
Bekaert, G 812
Bell, D.N.F 633
Bell, W.R 703
Beltratti, A 698–700
Benjamini, Y 249, 249n; 484, 550
Benzoni, L 829, 830
Bera, A.K 614, 852
Beran, J 835
Berger, J.O 17, 18, 83
Bergstrom, A.R 388
Bergström, R 752, 770
Berkowitz, J 220, 238, 797, 863
Bernanke, B.S 532, 534, 535, 948, 980
Bernard, H 930
Bernardo, J.M 20, 37n
Bessler, D.A 22
Bewley, R 989
Bhansali, R.J 318, 439
Bianchi, C 618
Bickel, P 544
Bickel, P.J 202
Bierens, H 474, 475
Bierens, H.J 202, 249, 250, 442, 443
Bijwaard, G.E 1009
Billah, B 333
Billio, M 852
Bilson, J 592
Binder, M 722
Birchenhall, C.R 667n; 683, 887, 891, 930,
947
Black, F 812, 818
Bladen-Hovell, R.C 683, 898
Blake, D.P.C 979
Blattberg, R.C 1001 Bloomfield, P 686 Bobbitt, L 703 Boehm, B 11 Boehm, E.A 885 Boero, G 447 Boivin, J 530–532, 534, 535, 910, 980 Boldin, M.D 885, 890
Bollen, B 838, 864 Bollerslev, T 416, 614, 615, 696–700, 784n;
798, 805, 812–814, 818, 828, 832–838, 840,
841, 845, 850–853, 856, 858, 864 Bomberger, W 750, 769 Bonham, C 728, 729n; 756, 757, 769 Bontemps, C 220, 608, 864 Bos, C.S 66
Boschan, C 885, 890, 921, 922 Boswijk, H.P 683–685, 689, 1000, 1002 Bouton, F 752, 769
Box, G 557, 564 Box, G.E.P 12, 17, 18, 38, 57, 290, 291, 331,
332, 351, 353, 358, 359, 417, 422, 625, 631, 664–666, 703
Bradley, M.D 447 Branch, W 720n; 761, 766, 769 Brandt, M.W 797, 798, 838, 853, 864 Brännäs, K 425
Braun, P 920 Braun, P.A 852 Brav, A 13, 18 Breen, W 863 Brehm, J 797 Breidt, F.J 829 Breitung, J 304, 667n Brelsford, W.M 686 Breunig, R 431 Breusch, T.S 623 Brewer, K.R.W 304 Brillinger, D.R 524, 532, 896 Brisson, M 534
Brock, W 243, 720n Brockwell, P.J 297, 665 Bronnenberg, B.J 998 Brooks, C 812, 851 Brown, B 756, 769 Brown, B.W 435 Brown, R.G 331 Brown, R.L 623 Bruce, A.G 357n; 400 Bry, G 890, 921 Bryan, M 763, 769
Trang 2Buchinsky, M 219
Buguk, C 796
Buizza, R 797
Bunn, D.W 146, 162n; 181, 635
Burke, S.P 812, 851
Burman, P 482
Burns, A.F 881, 884, 885, 888, 891, 921, 947
Burridge, P 365, 667
Busetti, F 360, 667n
Butler, J 741n; 750, 769
Caballero, R.J 754
Cagan, P 726
Callan, M 946
Calvet, L 813, 853
Calzolari, G 613, 618, 852
Camacho, M 927–929, 933, 946
Camba-Mendez, G 910
Campbell, B 534
Campbell, J.Y 580, 592, 780, 797, 812, 863
Campbell, S 797
Camps-Valls, G 797
Candes, E 472, 473
Canjels, E 570
Canova, F 357, 667n; 691, 889, 907–909, 915,
927
Cao, C 798
Caporin, M 852
Cappiello, L 852
Carbone, R 182
Carlin, B 542, 544
Carlin, J.B 18, 31
Carlson, J 739, 741, 752, 769
Carlstein, E 216n
Carnero, M.A 406
Carrasco, M 636, 637
Carriero, A 897, 901
Carroll, C 761, 769
Carter, C 14
Carter, C.K 8, 14, 370, 900
Carvalho, J.L 332, 349
Carvalho, V.M 378
Casella, G 542
Caskey, J 756, 769
Cavanagh, C 592, 599
Cecchitti, S 692
Chacko, G 829
Chamberlain, G 84, 526
Chambers, M.J 388
Champernowne, D 744
Chan, K.S 420, 421, 637 Chan, L 523
Chan, N.H 626, 812 Chan, Y.L 183 Chandy, R 988, 994, 996 Chandy, R.K 994 Chang, Y 663, 696, 698, 701 Chang, Y.S 205, 254 Chao, J 115, 118, 123, 126, 128, 129 Chao, J.C 206, 240, 241
Chatfield, C 15, 22, 44, 352 Chattererjee, S 138, 168 Chatterjee, S 523 Chauvet, M 890, 900, 913, 914, 949, 950 Chauvin, S 181
Chen, B 13, 43 Chen, B.-C 703 Chen, C 245, 623, 625, 627 Chen, C.W.S 927 Chen, J 852 Chen, N 592 Chen, S.-S 101 Chen, X 483 Chen, Y.H 570 Chen, Z 798 Chernov, M 798, 829 Cheung, Y.-W 107, 599 Chevet, J.-M 693 Chib, S 8, 14, 31, 34, 39, 56–58, 66, 67, 405,
406, 635, 827, 830, 900, 915, 930 Chin, D 885, 887, 932
Chinn, M 599 Chinn, M.D 107 Chintagunta, P.K 1008 Chipman, H 540 Cho, D 103, 109, 111, 797 Chong, T 630
Chong, Y.Y 109, 111, 139, 157 Chou, R.S 614
Chou, R.Y 798, 812 Chow, E 482 Chow, G.C 355, 622, 643 Christiano, L 888, 889 Christiano, L.J 103, 104 Christie, A.A 812 Christoffersen, P 139, 150, 154, 207, 208, 581,
583, 584, 584n; 586, 732n Christoffersen, P.F 22, 207, 416, 617, 677,
797, 798, 812, 840, 851, 863, 864 Chu, C.S 624
Chui, A.P.L 667n; 683
Trang 3Chulani, S 11
Chung, C.-H 334, 342, 343, 358, 381
Chung, H.J 829
Ciccarelli, M 907
Claessen, H 294, 307, 309, 314
Clarida, R.H 238
Clark, P.K 815, 828
Clark, T.E 101, 111, 115, 118, 119, 121, 122,
122n; 123, 125, 126, 129, 206, 238, 935
Clarke, D.G 993, 995
Clayton-Matthews, A 528
Clemen, R.T 23, 137–140, 143n; 157, 176,
181, 182, 193, 522, 523, 635
Clements, M.P 122, 138, 154, 161, 182, 203,
207n; 208, 306, 318, 373, 400, 416, 445, 447,
522, 550, 563n; 564, 580, 581, 583, 585, 607,
610, 614, 617, 634–636, 637n; 640, 641, 644,
653, 654, 666, 668, 677, 693, 902, 905
Clyde, M 539, 540, 544, 546
Cochrane, D 570
Cochrane, J 798
Cogley, T 25, 630
Cohen, R 729n; 756, 757, 769
Coifman, R 471
Cole, R 975
Comte, F 829
Connor, G 529, 535
Cooper, D.M 315
Cooper, L.G 997
Corradi, V 101, 115, 117–119, 122, 123, 126,
128, 129, 131, 203–208, 212, 214–216,
218–222, 225, 231, 234, 237, 240, 241, 246,
249, 251–254, 258, 261, 263–265, 277, 279,
438, 441, 442, 448, 598, 935
Corsi, F 838, 864
Crato, N 829
Craven, P 480
Cremers, K.J.M 541
Cripps, E 797
Cristadoro, R 535, 896
Crone, T 528
Croushore, D 735, 736n; 769, 946, 965,
969–971, 978, 979
Cunningham, A 739n; 741, 744, 751, 752, 769
Curci, G 838, 864
Cybenko, G 423
Dacco, R 447
Dacorogna, M 813, 837, 838, 853
Dacy, D 728, 769
Dagum, E.B 360, 703 Danielsson, J 829, 830 Das, M 736n; 746–748, 765 Dasgupta, S 733, 742, 769 Daubechies, I 469 Davé, R.D 813 Davidson, J 361, 813 Davidson, J.E.H 634, 680 Davidson, R 116, 202, 218n; 219 Davies, A 729, 758, 769, 770 Davies, R.B 426, 623, 995 Davis, E.P 949
Davis, R.A 297, 665 Dawid, A.P 17, 18, 22
de Bodt, E 472
De Bruin, P.T 436, 437, 637n
De Gooijer, J.G 425, 436, 437, 447, 448, 637n
De Jong, F 853
de Lima, P.F.J 829
de Rossi, G 339
de Vos, A 403 DeGroot, M.H 83 Deistler, M 291, 294, 308, 309, 520 DeJong, D.N 11
DeJong, P 8, 370 DeJong, R.M 249 Dekel, S 471 Dekimpe, M.G 993 del Barrio Castro, T 684, 685 Del Negro, M 907
Delampady, M 18 Demetriades, P 733, 769 DeMoor, B 312 Dempster, A.P 638n den Haan, W.J 105, 106, 116 Denton, F.T 974
Deo, R 829 Desai, M.J 979 DeSantis, G 851 Desimone, H 539, 540 Deutsch, M 168, 439, 749 DeVore, R 470–473 Dey, D.K 40 Dhaene, G 829 Dickey, D 570, 580, 594 Dickey, D.A 667, 667n; 668 Diebold, F.X 37, 103, 104, 138–140, 143,
150, 154, 157, 159, 167, 171, 172, 174n; 182,
184, 203, 205–207, 207n; 208, 221, 235, 245,
416, 441, 522, 523, 570, 572, 580, 581, 583,
584, 584n; 586, 617, 623, 635, 636, 677,
Trang 4732n; 797, 811–813, 818, 832–836, 838, 840,
847, 850–854, 858, 863, 864, 883, 898–900,
935, 938, 940, 946, 963
Ding, A.A 423, 529
Ding, Z 805, 813
Doan, T 24, 49, 52, 71, 543, 907
Doksum, K.A 202
Dolmas, S 979
Dominguez, K 755, 756, 760, 770
Dominitz, J 734, 736n; 745, 749, 753, 754,
760, 769
Donaldson, R.G 170
Donkers, B 736n; 746–748, 765
Doornik, J.A 316, 332, 353, 356, 380, 642,
643
Dorfman, J.H 934
Dotsey, M 947
Draper, D 15, 18, 23
Drèze, J.H 51
Driver, C 751, 752, 769
Drost, F.C 814, 820
Duan, J.-C 798, 864
Duan, J.C 220
Duca, J.V 948
Dueker, M.J 931, 932, 948–950
Duffie, D 200, 207, 829
Dufour, J.-M 207n; 223, 317, 854
Dunis, C 181
Dunis, C.L 172n
Dunsmuir, W.T.M 291, 797
Durbin, J 332, 351, 368, 370, 383, 399, 400,
405, 623
Durland, J.M 636, 900
Durlauf, S.N 561
Dwyer, M 979
Ebens, H 834, 850
Edge, R.M 976
Edison, H.J 103, 109
Edwards, W 18
Efron, B 520, 550
Ehlgen, J 769
Eichengreen, B 931
Eitrheim, Ø 430
El Karoui, N 530
Elashoff, R.M 797
Elerian, O 830
Eliasson, A.-C 420
Eliasz, P 532, 535
Elliott, G 87, 104, 139, 141, 142, 145, 152,
160, 168, 169, 182, 184, 186, 445, 560, 561,
563, 570, 580, 592, 593, 599, 600, 731, 731n;
749, 755, 756, 759, 769, 937, 974, 1010 Embrechts, P 813
Emerson, R.A 893, 905 Enders, W 420, 812 Engelberg, J 750 Engle, R.F 61, 62, 168, 291, 318, 348n; 372,
424, 527, 581, 583, 584, 584n; 585, 586, 607,
614, 617, 663, 667, 678, 682, 683, 788, 796,
798, 803, 805, 806, 812, 813, 841, 846, 847,
852, 863 Entorf, H 751, 769 Epps, T 853 Eraker, B 798, 830 Erb, C 852 Ericsson, N.R 641 Erkel-Rousse, H 752, 769 Estrella, A 930, 948, 949 Evans, G 717n; 720n Evans, J.M 623 Evans, M 592 Ewing, B.T 797 Fadiga, M 796 Fagan, G 949 Fair, R 728, 769, 906 Fair, R.C 48, 101 Fama, E 592 Fan, J 416, 433 Farley, J.U 995 Faust, J 107, 976 Favero, C.A 184, 535 Federal Reserve Bank of Chicago, 535 Feldstein, M 885
Feller, W 864 Fernandes, C 397, 399 Fernandez, C 536–540 Fernandez-Villaverde, J 205, 254 Ferreira, M.A 116
Ferrier, G.D 423 Figlewski, S 138, 139, 181, 182, 523, 524,
533, 534, 756, 757, 769 Filardo, A.J 636, 899, 900, 909, 913, 915,
946, 947, 950 Fildes, R.A 182, 631n; 635 Findley, D.F 306, 703 Fine, T.L 422 Fiorentini, G 852 Fishe, R 742, 769 Fisher, A 813 Fisher, A.J 853
Trang 5Fisher, P.G 633
Fitzenberger, B 230
Fitzgerald, T 888, 889
Fleming, J 406, 798, 828, 838, 853, 864
Flores de Fruto, R 683, 686, 690
Fok, D 989n; 997, 998, 1002–1006
Forni, M 530–535, 546, 895, 896, 911
Foster, D.P 543, 853
Fouque, J.-P 795
Frankel, J 755, 756, 758, 760, 770, 885
Franses, P.H 360, 416, 428, 433, 436, 581,
662, 665, 667n; 668–670, 680, 681, 683–685,
687, 689, 690, 693, 812, 852, 927, 934, 985n;
989n; 991, 993–998, 1000, 1002–1010
French, F 592
French, K.R 798, 837
Frenkel, J 727
Frey, R 813
Fridman, M 829
Friedman, B 756
Friedman, B.M 948
Friedman, J.H 446
Froot, K 592, 728, 755, 756, 758, 760, 770
Frühwirth-Schnatter, S 8, 370
Fuhrer, J.C 886, 905
Fuller, W.A 353, 570, 580, 594, 614, 667,
667n
Funahashi, K 423
Gadzinski, G 743n
Galbraith, J.W 534
Galí, J 889
Gallant, A.R 468, 698, 813, 824, 825, 828,
829
Gallo, G.M 484
Galvão, A.B 122, 635, 927
Garcia, R 431, 637
Garcia-Ferer, A 54, 55
Gardner, E.S 631
Geisel, M.S 16
Geisser, S 22, 480, 509
Gelfand, A 57, 58, 60
Gelfand, A.E 31, 40
Gelman, A 12, 18, 31
Geman, D 26n; 31
Geman, S 26n; 31
Gencay, R 469
Genest, S 176, 177
George, E 59
George, E.I 539, 540, 543, 544, 1001
Gerard, B 851 Gerlach, R 14 Gerlach, S 930 Gersch, W 332 Gertler, M 948 Gertler, M.L 948 Geweke, J.F 6, 12, 14, 18, 20, 21, 25–27, 29–31, 33, 37n; 39, 40, 50, 51, 56, 59, 67,
179, 318, 524, 525, 527, 539, 813, 814, 882,
885, 887, 894, 906, 927, 932, 950 Ghysels, E 103, 114, 202, 207n; 223, 404,
662, 667n; 668, 668n; 669–671, 673, 679,
685, 687, 689–691, 693, 694, 695n; 700–702, 702n; 705, 798, 813, 815, 829, 837, 864, 946 Giacomini, R 104, 112, 117, 124, 124n; 180,
205, 206, 222, 222n; 254, 442, 443, 863 Giannoni, D 532, 535
Giannopoulos, K 797 Giavazzi, F 889 Gilks, W.R 31 Gill, R.D 1009 Giordani, P 750, 769, 796 Giorgianni, L 238 Giraitis, L 813 Gladyshev, E.G 683 Glosten, L.R 798, 803, 812, 863 Gobbo, M 852
Goffe, W.L 423 Gomes, J.F 205, 254 Goméz, V 703 Gonçalves, S 218, 484 Gonzalez-Rivera, G 813 Gonzalo, J 430 Good, I.J 18 Goodman, L 747 Goodwin, T.H 635 Gordon, R 885 Gordon, S.F 899, 900, 909, 913, 915, 950 Gouriéroux, C 746, 747, 812, 829 Gouveia, P.M.D.C 686, 690 Granger, C.W.J 6, 23, 59, 84–86, 88, 93, 102,
103, 107, 119, 137, 138, 141, 145, 150, 158,
159, 163, 165, 168, 181, 184, 185, 207n; 220,
235, 249, 250, 289–291, 296, 416, 420, 425,
427, 429, 433, 434, 439, 440, 446, 447, 452,
492, 520–522, 537, 557, 581, 631n; 635, 663,
667, 678, 682, 683, 702n; 731n; 748, 749,
788, 797, 805, 806, 813, 883, 927, 933, 937, 1005
Greenberg, E 31, 34, 56–58 Greene, W.H 36, 37, 39
Trang 6Gregoir, S 305, 752, 769
Grether, D.M 332, 349
Griffiths, W.E 989
Grigoletto, M 306
Griliches, Z 607
Gronke, P 797
Grossman, R.S 931
Grossman, S 721
Grunwald, G.K 398
Grupe, M.R 684, 688, 694, 695
Guidolin, M 151, 153, 200, 207, 797, 852
Guilkey, D.K 643
Guiso, L 736n; 749
Gulati, G.M 21, 54, 906, 907, 932
Gunther, T 203, 206–208, 221, 863
Gupta, S 160, 162, 182
Guttman, I 301
Hafner, C 852
Haggan, V 420
Hahn, J 203, 206–208, 500, 863, 864
Haldrup, N 305
Hall, A 103, 114, 202, 207n; 223, 685
Hall, A.D 116, 312
Hall, A.R 222n
Hall, P 218, 228
Hall, R 564
Hall, R.E 885
Hall, S 635
Hallin, M 530–534, 546, 895, 896, 911
Hallman, J.J 663, 678, 682, 683
Hamilton, J.D 202, 392, 403, 422, 431, 635,
637, 638, 640, 693, 812, 813, 882, 883, 890,
897, 898, 905, 912, 913, 915, 934, 938, 940,
946, 948
Hamilton, J.H 151
Hammersly, J.M 25, 27, 29, 31
Hamza, K 398
Handscomb, D.C 25, 29, 31
Hang, J.J 404
Hannan, E 480
Hannan, E.J 291, 294, 308, 309, 314, 357, 520
Hansen, B.E 249, 357, 426, 427, 430, 431,
596, 637, 667n; 813, 995
Hansen, H 643
Hansen, L.P 103, 104, 694, 695
Hansen, P.R 131, 245, 247, 247n; 264, 812,
838, 863, 864
Hanson, T 796
Hanssens, D.M 993
Harding, D 890, 936
Härdle, W 929 Harkema, S.J.A 797 Harris, L 828, 829 Harrison, J 53, 83, 84 Harrison, P.J 43, 49, 332, 348n; 355, 369 Harrison, R 978
Hartley, M 762 Harvey, A.C 289, 294, 332–334, 339, 340, 342–344, 349–353, 356, 358–360, 362, 363, 369–371, 374, 375, 378, 380–383, 386, 388,
391, 397, 399, 402n; 404–406, 424, 631, 662,
665, 667n; 671, 699, 701, 815, 822, 829, 852, 979
Harvey, C 852 Harvey, C.R 797 Harvey, D 441 Harvey, D.I 109, 123, 140, 239, 523, 635 Haslett, J 60
Hassler, U 678, 679 Hastie, T 550 Hastings, W.K 31, 33 Hasza, D.P 614, 667n Hawkes, W.J 1005 Haykin, S 422 Heckerman, D 11 Heckman, J.J 607 Hellwig, M 721 Hendry, D.F 109, 111, 138, 139, 154, 157,
161, 182, 316, 318, 319, 361, 373, 400, 445,
484, 518, 522, 550, 563n; 564, 580, 581, 583,
585, 607, 608, 610, 612, 614, 617, 623, 627,
634, 635, 640–644, 653–655, 666, 668, 677,
680, 893, 902, 905, 920, 934 Henry, O.T 421
Henry, S.G.B 949 Hentschel, L 812 Herwartz, H 683, 690, 998 Heston, S.L 795, 798 Hibon, M 137, 182, 333, 631n Higgins, M.L 614
Highfield, R.A 54, 55 Hild, F 752, 769 Hildreth, C 7 Hillmer, S.C 312, 359, 360 Hipel, R.W 360
Hirano, K 500, 979 Hochberg, Y 249, 249n; 484, 550 Hodrick, R.J 592, 889
Hoerl, A.E 45 Hoeting, J.A 15, 179, 536–538 Hoffman, D.L 103, 114, 581
Trang 7Hogue, A 317
Holt, C.C 331, 337
Hommes, C 722
Hommes, C.H 720n
Hong, C 13, 21, 54, 55, 168, 749, 906–908,
932
Hong, Y 131, 203, 204, 206–208, 210, 212,
214, 221, 863
Hong, Y.M 206, 208, 210–212, 214, 225
Honkapohja, S 717n
Hoque, A 614
Hornick, K 928
Hornik, K 423
Horowitz, J.L 202, 218, 228
Horvath, B 764, 769
Horvath, C 1005
Hosking, J.R.M 60
Howrey, E.P 633, 977, 979
Hsieh, D.A 829, 837
Hsu, C.T 813
Hu, M 864
Hu, M.Y 416
Huang, X 838
Hubrich, K 313, 319
Hudson, D 796
Hueng, C.J 111, 116
Huerta, G 14
Hüfner, F 769, 770
Hull, J 65, 404, 795, 819, 829
Hurd, H.L 686
Hurd, M 736n
Hurvich, C 829
Hwang, J.T.G 423, 529
Hylleberg, S 635, 655, 662, 665, 667, 667n;
668, 670, 678, 702
Hyndman, R.J 333, 398, 438
Imbens, G 500
Inder, B 838, 864
Ing, C.-K 119n
Ingram, B.F 11
Inoue, A 101, 203, 218, 221, 222n; 228, 252,
442, 549, 813, 863
Intriligator, M.D 607
Ionescu, V 365
Isiklar, G 737
Ito, T 728, 755, 756, 760, 770, 796
Ivaldi, M 741, 746, 747, 769
Jackson, T 179
Jacobs, K 798, 864
Jacquier, C 9, 65 Jacquier, E 405, 826 Jaeger, A 350 Jaganathan, R 175, 185 Jagannathan, R 798, 803, 812, 853, 863 Jain, D.C 985, 988
James, A.T 530 James, W 13, 520 Jansen, D.W 447 Jansson, M 592 Japelli, T 736n; 749 Jasiak, J 812 Jeffreys, H 15 Jeliazkov, J 39 Jenkins, G 557, 564 Jenkins, G.M 38, 57, 290, 291, 331, 332, 353,
358, 359, 417, 422, 625, 631, 664–666 Jeon, Y 163, 184, 425
Jeong, J 741, 741n; 769 Jessen, H 887, 891, 930, 947 Jiang, G.J 829
Jimenez-Torres, N.V 797 Jobson, J.D 184 Johannes, M 798, 830 Johansen, S 62, 291, 305, 312, 313, 334, 373, 585n; 617, 618, 623, 678n; 679, 905 Johnson, H 829
Johnson, T.D 797 Johnston, F.R 369 Johnstone, I.M 530, 550 Jondeau, E 853 Jones, C 797 Jones, C.S 530, 535 Jones, L.K 472, 474 Jones, R.H 332, 686 Jonung, L 733 Jørgensen, C 665, 668 Jorion, P 797, 851 Joyeux, R 59 Jubinsky, P.D 828 Junttila, J 625, 627 Jurke, S.R 357n; 400 Juster, T 736n; 753, 754 Kabaila, P 306 Kaddour, H 585 Kadiyala, K.R 49, 51, 52 Kähler, J 635
Kalman, R.E 332 Kamakura, W.A 1002 Kamstra, M 170, 207n; 635, 797
Trang 8Kang, H 138, 139, 182
Kanoh, S 743, 770
Kapetanios, G 312, 535, 910, 978
Karlsson, S 49, 51, 52, 179
Karpoff, J.M 828
Kashyap, A 692
Kass, R.E 15
Katona, G 734, 753, 769
Katsuura, M 891, 947
Kauppi, E 770
Kavalieris, L 314
Kawakatsu, H 852
Kawasaki, Y 669
Keane, M 756, 769
Kehagias, A 24
Keilis-Borok, V 929
Kemp, G 565, 575
Kemp, G.C.R 318
Kennard, R.W 45
Kennedy, P 361
Keynes, J 721n; 725
Khmaladze, E 202
Kiartzis, S 24
Kilian, L 101, 221, 238, 239n; 240, 442, 447,
549, 570, 572, 580
Kim, C.-J 533, 883, 897, 900, 909, 914–916,
918
Kim, C.J 403, 635
Kim, D.H 948
Kim, J.H 306
Kim, M.-J 900
Kim, S 66, 67, 405, 406, 827, 852
Kim, T 462
Kim, T.H 317
King, M 796, 852
King, R.G 888, 889
Kirby, C 406, 798, 828, 838, 853, 864
Kitagawa, G 332, 394
Kitamura, Y 205, 254
Kitchen, J 524
Klaassen, C.A.J 544
Klapper, D 998
Kleibergen, F 581
Klein, L.R 633
Klein, P 752, 769
Klein, P.A 892, 898, 921
Kling, J.L 22, 906
Kloek, T 29, 51
Klüppelberg, C 813
Knight, F 720, 734
Knight, J.L 829
Knox, T 545 Koch, P.D 904 Koehler, A.B 352, 358 Koenig, E 979 Koenker, R 462 Kohn, R 8, 14, 59, 301, 370, 900 Kokoszka, P 813
Kolmogorov, A.N 202 Komunjer, I 180, 731, 731n; 759, 769, 863,
937, 1010 Kontrus, K 624 Koop, G 6, 18, 59, 60n; 370, 538, 539, 541,
542, 546, 636 Koopman, S.J 332, 343, 351–353, 356, 360,
363, 368–370, 374, 380, 386, 399, 400, 405,
829, 830 Koopmans, T.C 881, 886 Korajczyk, R.A 529, 535 Koreisha, S.G 312 Korkie, B 184 Kose, A 533 Kotler, Ph 985, 988 Koyck, L 726 Koyck, L.M 994 Kozicki, S 372, 375, 947, 977 Kraft, D 168
Krämer, W 623, 624 Krane, S 360 Krolzig, H.-M 447, 484, 518, 635, 636, 640,
891, 897–899, 913, 920 Kroner, F.K 852 Kroner, K.F 614, 798, 812, 852 Kruskal, W 747
Kuan, C.-M 471, 474 Kuiper, J 974 Kukuk, M 764, 769 Kumar, V 998 Künsch, H.R 216, 216n; 228, 279 Kunst, R.M 680, 681
Kurz, M 760n Kuttner, K.N 381, 948 Labys, P 834, 835, 850, 853, 858, 864 Lahiri, K 636, 729, 733, 737, 742, 750, 758,
769, 770, 946, 952 Lahiri, S.N 217n Laird, N.M 638n Lakonishok, J 243 Lam, P.-S 635 Lambros, L.A 750, 769 Lamoureux, C.G 632, 813, 828
Trang 9Lancaster, T 6, 12, 18
Lane, J.A 637n
Lange, S 696
Lanne, M 444
Laroque, G 305
Lassila, J 770
Lastrapes, W.D 632, 796, 813, 828
Laubach, T 976
Laurent, S 851, 852
Laws, J 181
Layton, A.P 890, 891, 947
Leamer, E.E 15, 45, 179, 536, 607
LeBaron, B 243
Ledoit, O 171–173, 185, 844, 853
Lee, G.G.J 806, 813
Lee, H.S 667n; 668, 670, 673, 678, 679, 685
Lee, J 472
Lee, J.-H 899
Lee, J.C 927
Lee, J.H 635, 636
Lee, K 753, 769
Lee, S.W 813
Lee, T.-H 131, 249, 429
Leeflang, P.S.H 998
Leeper, E 518
Lehmann, D 995
Lehmann, E.L 484, 542
Leipus, R 813
Leitch, G 109
Lendasse, A 472
Lenglart, F 752, 769
Lenten, L.J.A 356
Leone, R.P 993, 995
Lesage, J.P 64
LeSage, J.P 168, 523
Lettau, M 122, 797
Leviatan, D 471
Levin, A.T 105, 106, 116
Lewandowski, R 182
Lewis, A.L 318
Lewis, K 592
Lewis, R 317
Ley, E 59, 60n; 536–540
Leybourne, S 441
Leybourne, S.J 109, 123, 239, 317
Li, D.T 934
Li, F 206, 214
Li, H 431, 632
Li, H.F 206, 208, 210–212, 214, 225
Li, Q 489
Li, W.K 813
Li, Z 743, 770 Lieli, R 87 Lieli, R.P 932 Liesenfeld, R 828, 852 Lilien, D.M 798 Lilien, G.L 1001, 1006 Lin, C.-F 424, 429 Lin, G 813 Lin, J 677 Lin, J.-L 434, 440, 452, 617 Lin, W.L 796
Lindgren, G 421, 897 Lindley, D 12 Lindman, H 18 Ling, S 813, 852 Linn, S.C 797 Linton, O 245, 248n; 264 Lippi, M 530–535, 546, 895, 896, 911 Litterman, R.B 8, 11, 24, 38, 44, 46, 48, 49,
52, 62, 68–71, 543, 851, 907 Liu, F 750
Liu, L.-M 625 Liu, T 599
Lo, A.W 780, 863 Löf, M 681, 690 Löffler, G 741 Longbottom, J 633 Longin, F 852 Lopes, A.C.B.S 670 Lopez, J.A 138, 140, 523, 635, 812, 854 Loretan, M 813
Louis, T.A 542, 544 Loungani, P 737 Lown, C.S 948 Lubrano, M 813, 927 Lucas, R 722 Ludvigson, S 122, 797 Luginbuhl, R 403 Lumsdaine, R.L 623, 813 Lund, J 829, 830 Lund, R.B 686 Lundbergh, S 416, 433, 435, 438, 444, 445, 452
Lunde, A 131, 812, 838, 863, 864 Lundin, M 853
Lütkepohl, H 291, 294, 295, 298, 299, 301–304, 307–311, 313–319, 618, 635, 684,
836, 902, 903 Luukkonen, R 427 Lwin, T 542–544 Lyhagen, J 681
Trang 10Ma, T 175, 185, 853
Maasoumi, E 245, 248n; 264
MacCarthy, M.D 633
MacDonald, I.L 401
MacDonald, R 758, 770
Machina, M.J 88, 93, 141, 447, 937
MacInnis, D.J 994
Mackie-Mason, J.K 670
MacKinlay, A.C 780, 863
MacKinnon, J.G 116, 202, 218n; 219, 641
Maddala, D.S 418
Maddala, G.S 45, 599, 632, 741, 741n; 769
Madigan, D.M 15, 179, 536–539
Madsen, J 752, 770
Maesincee, S 985, 988
Maestas, C 797
Magnus, J.R 317, 564, 565, 574, 614
Magura, M 168, 523
Mahajan, V 998
Mahieu, R.J 66
Maital, S 756, 769
Makridakis, S 137, 138, 158, 159, 181–183,
185, 333, 631n
Malinvaud, E 614
Mallows, C 480
Manganelli, S 863
Mankiw, N 592, 722n
Manski, C 734, 736, 736n; 745, 749, 750,
753–755, 760, 769
Marathe, A 796
Maravall, A 359, 703
Marcellino, M 119n; 137, 193, 237, 266, 296,
319, 416, 424, 440, 448–451, 534, 535, 889,
897, 899, 901, 902, 910, 917, 918, 920, 923,
924, 926–928, 933, 934, 937
Mariano, R.S 103, 104, 205, 206, 235, 435,
441, 863, 935, 938, 940, 979
Marimoutou, V 353
Marinova, D 797
Maritz, J.S 542–544
Mark, N 122
Mark, N.C 238
Markowitz, H 793
Marnet, V 635
Marquering, W 797
Marriott, J 57, 58, 60
Marris, R.L 633
Marrocu, E 447
Martens, M 663, 696, 698, 701, 853, 864
Martin-Guerrero, J.D 797
Masarotto, G 306
Maslaris, N 24 Mason, C.H 1001, 1007 Massmann, M 641 Masten, I 910 Matas-Mir, A 691, 692 McAleer, M 739n; 743, 751, 752, 770, 797,
813, 852 McCausland, W 12, 18 McCracken, M.W 101, 111, 115, 115n; 116–119, 121, 122, 122n; 123, 125, 126, 129,
131, 206, 207, 223, 236–238, 239n; 240n;
249, 277, 854, 935 McCullagh, P 394 McCulloch, R.E 59, 539, 540, 635, 915 McCullough, B 812
McCurdy, T.H 636, 900 McFadden, D 607 McGarry, J 388 McGarry, K 736n McGuckin, R.H 887, 920 McKenzie, C.R 979 McKenzie, E 631 McLeod, A.I 360 McNees, S.K 48, 68, 69, 946 McNeil, A.J 813
Meade, J 744 Meddahi, N 220, 784n; 814, 837, 852, 864 Medeiros, M.C 416, 429, 443, 450, 451 Meese, R.A 101, 103, 110n; 238, 318, 558 Meghir, C 796
Meinhold, R.J 400 Meiselman, D 727 Melino, A 65, 798, 829 Meng, X.L 18, 39 Merton, R.C 818, 829 Metropolis, N 26n; 31, 33 Mikhalev, P 929 Mikkelsen, H.O 805, 812, 813 Mikosch, T 813
Milgrom, P 721 Miller, C.M 522 Miller, J.E 396 Miller, P 885, 887, 932 Miller, P.J 70 Miller, R.B 38 Mills, A.G 668 Mills, T.C 668, 812 Min, C 536, 541, 906, 908, 934 Min, C.-K 24, 26, 27, 43, 54, 55, 148, 168,
178, 749 Mincer, J 444, 727, 855