Anderson, T. W. (1951), “Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions,” Annals of Mathematical Statistics, 22, 327–351.
Ansley, C. F. and Newbold, P. (1979), “Multivariate Partial Autocorrelations,” in Proceedings of the Business and Economic Statistics Section, Washington, DC: American Statistical Association.
Bollerslev, T. (1990), “Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model,” Review of Economics and Statistics, 72, 498–505.
Ding, Z., Granger, C. W. J., and Engle, R. F. (1993), “A Long Memory Property of Stock Market Returns and a New Model,” Journal of Empirical Finance, 1, 83–106.
Engle, R. F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models,” Journal of Business and Economic Statistics, 20, 339–350.
Engle, R. F. and Granger, C. W. J. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 251–276.
Engle, R. F. and Kroner, K. F. (1995), “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11, 122–150.
Engle, R. F. and Ng, V. K. (1993), “Measuring and Testing the Impact of News on Volatility,” Journal of Finance, 48, 1749–1778.
Glosten, L., Jaganathan, R., and Runkle, D. (1993), “Relationship between the Expected Value and Volatility of the Nominal Excess Returns on Stocks,” Journal of Finance, 48, 1779–1802.
Golub, G. H. and Van Loan, C. F. (1983), Matrix Computations, Baltimore: Johns Hopkins University Press.
Goodnight, J. H. (1979), “A Tutorial on the Sweep Operator,” American Statistician, 33, 149–158.
Hosking, J. R. M. (1980), “The Multivariate Portmanteau Statistic,” Journal of the American Statistical Association, 75, 602–608.
Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231–254.
Johansen, S. (1995a), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, New York: Oxford University Press.
Johansen, S. (1995b), “A Statistical Analysis of Cointegration for I(2) Variables,” Econometric Theory, 11, 25–59.
Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration: With Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169–210.
Koreisha, S. and Pukkila, T. (1989), “Fast Linear Estimation Methods for Vector Autoregressive Moving Average Models,” Journal of Time Series Analysis, 10, 325–339.
Litterman, R. B. (1986), “Forecasting with Bayesian Vector Autoregressions: Five Years of Experience,” Journal of Business and Economic Statistics, 4, 25–38.
Lütkepohl, H. (1993), Introduction to Multiple Time Series Analysis, 2nd Edition, Berlin: Springer-Verlag.
Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347–370.
Nelson, D. B. and Cao, C. Q. (1992), “Inequality Constraints in the Univariate GARCH Model,” Journal of Business and Economic Statistics, 10, 229–235.
Osterwald-Lenum, M. (1992), “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, 54, 461–472.
Pringle, R. M. and Rayner, A. A. (1971), Generalized Inverse Matrices with Applications to Statistics, New York: Hafner Publishing.
Quinn, B. G. (1980), “Order Determination for a Multivariate Autoregression,” Journal of the Royal Statistical Society, Series B, 42, 182–185.
Reinsel, G. C. (1997), Elements of Multivariate Time Series Analysis, 2nd Edition, New York: Springer-Verlag.
Spliid, H. (1983), “A Fast Estimation for the Vector Autoregressive Moving Average Models with Exogenous Variables,” Journal of the American Statistical Association, 78, 843–849.
Stock, J. H. and Watson, M. W. (1988), “Testing for Common Trends,” Journal of the American Statistical Association, 83, 1097–1107.
Zakoian, J. M. (1994), “Threshold Heteroscedastic Models,” Journal of Economic Dynamics and Control, 18, 931–955.