Bart, 1) and J. Campbell, 1995, Inllalion. Real Interest Rales, and die Bond Market: Л Study ol UK Nominal and liulex-l.inked Government Bond Prices, Discussion Paper 1732, Harvard Institute ol Economic Research, Harvard I Iniversiiy.

Barron, A., 1993, Universal Approximation Bounds for Superpositions ola Sig-moidal Fimclioii, IEEE Trims. Injn. Theory, 39, 930-945.

-, ИМИ, Approximation and Estimation Bounds lor Artificial Neural Networks, Machine I.earning, II, 115-133.

Barton, A., and R. Barron, 1988, Statistical Learning Networks;A Unifying View, in 20ili Symposium mi the Intel fare: Computing Science anil Statistics, pp. 192-203, Kcstou, Virginia.

B.trsky, R and J. De Long, 1993, Why Does the Stock Market Fluctuate:, Quarterly Journal ol Economics, I OH, 291-311.

Basil, S., 1977, The Investment Performance of Common Stocks in Relation to Their Price 10 Earnings Ratios: Л Test of the Efficient Market I lypoilicsis, Journal if Eiiianie, 32, 663-682.

Beckers, S., 1980, The Constant Elasticity ol Variance Model and lis Implications for Option Pricing. Journal of Finance, 35, 061-673.

-, 1983, Variances of Security Price Returns Based on High, Low, and Closing

Prices, jnurnol of Itnsinrss. 50, 97-1 1*2. Benail/i, S., and R. Thaler, 1995, Myopic Loss Aversion and the Equity Ireiiiitun

Puzzle, (hiarteiE Journal of Economies, 110, 73-92. Bcnsion, ( ,., and R. Hagennan, 1971, Determinants of Bid-Asked Spreads in the

Over-llic-Gou liter Market, Journal of Financial Economics, 1, 353-301. Betiveneto, R 198-1, lite Occurrence of Sequence Patterns in Ergodic Markov

Chains, Stochastic Processes anil Their Aj/jdicalions, 17, 309-373. Bernard, V., 1987, Cross-Sectional Dependence and Problems in Inference i 1

Market-Based Accounting Research, journal of Accounting Research, 25, i-

18.

Bertitlt, ! .., B. Hall. R. Hall, and J. Нашими, 1974, Estimation and Inference in Nonlinear .Structural Models, Annals of Economic anil Social Measurement. 3, 053-005.

Bcnislein, P.. 1992. Cajhlal Ideas: Ihe Impiohahle Origins of Moilern Wall Street. Ft ее Press, New Not k.

Berlsimas, D., and A. Lo, I99(i, Optimal Control of Execution Costs, Working

Paper 1 .EE-11125-91 , Massachusetts Instil tile of Technology Laboratory for

Financial Engineering, Camhiidge, MA. Berlsimas, IV, L. Kogan, anil A. Lo. IДОС), When Is Time Continuous?, Winking

Paper I.IT.-IO 15-96, Massachusetts Institute of Technologv LahoratotA for

Financial Engineering. Bliatlacliarya, M 1983, Transactions Dala Tests of Efficiency of the Chit ago Board

Options Exchange, join mil oj Emit mini Economics, 12, 181-185. Bick,.V, 1990, On Viable Diffusion Price Processes oldie Market Pot tlolio, jouriiol

oj Finance. 15, 073-0H9.

Bierwag, С, G. Kaufman, and A. Toevs (eds.), 1983, Innovations in Bond Portfolu Management: Duration Analysis and Immunization, JAI Press, Westport, CT.

Biggans, ]., and C. Cannings, 1987, Markov Renewal Processes, Counters and Rej-peated Sequences in Markov Chains, Advances in Applied Probability, 19J 521-545. j

Billingsley, P., 1968, Convergence of Probability Measures, John Wiley and Sons, New York.

Black, E, 1971, Toward a Fully Automated Stock Exchange, Financial Analysis Jour-nal, July-August, 29-44.

-, E, 1972, Capital Market Equilibrium with Restricted Borrowing, Journal of

Business, 45, July, 444-454.

-, 1976, Studies of Stock Price Volatility Changes, in Proceedings of the 1976

Meetings of the Business and Economic Statistics Section, American Statistical Association, pp. 177-181.

-, 1993, Return and Beta, yo r7mi of Portfolio Management, 20, 8-18.

Black, E, and P. Karasinski, 1991, Bond and Option Pricing when Short Rates Are Lognormal, Financial Analysis Journal, July-August, 52-59.

Black, E, and M. Scholes, 1972, The Valuation of Option Contracts and a Test of

Market Efficiency, Journal of Finance, 27, 399-418. -, 1973, The Pricing of Options and Corporate IJabilities.youma/o/Fo/i/ira/

Fconomy, 81,637-654. Black, E, E. Derman, and W. Toy, 1990, A One-Factor Model of Interest Rates

and Its Application to Treasury Bond Options, Financial Analysts Journal,

January-February, 33-39.

Black, E, M.Jensen, and M. Scholes, 1972, The Capital Asset Pricing Model: Some Empirical Tests, in Jensen, M. (ed.), Studies in the Theory of Capital Markets, Praeger, New York.

Blanchard, O., and M. Watson, 1982, Bubbles, Rational Expectations and Financial Markets, in P. Wachtel (ed.), Crises in tlie Economic and Financial Structure: Bubbles, Butsts, and Shocks, Lexington, Lexington, MA.

Blattberg, R., and N. Gonedes, 1974, A Comparison of Stable and Student Distributions as Statistical Models for Stock Prices, foumal of Business, 47,244-280.

Blume, M., and 1. Friend, 1973, A New Look at the Capital Assel Pricing Model, Journal of Finance, 28, 19-33.

-, 1978, The Changing Role of the Individual lnveslor,]ohn Wiley and Sons, New

York.

Blume, M., and R. Stambaugh, 1983, Biases in Computed Returns: An Application to the Size Effect, Journal of Financial Economics, 12,387-404.

Blume, 1.., D. Easley, and M. OHara, 1994, Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153-181.

Blume, M., C. MacKinlay, and B. Terker, 1989, Order Imbalances and Stock Price Movements on October 19 and 20, 1987, Journal of Finance, 44, 827-848.

Hoelimcr, E.,J. Musiimeci, and Л. Poiilscn, 1991, Event-Study Methodology itiidci Conditions of Event Induced Variance, Journal of Financial Economics, Mi, 253-272,

Boldrin, M., and M. Woodford, 1990, Equilibrium Models Displaying [endogenous Fluctuations and Chaos: A Survey, Journal of Monetary Economics, 25, 189-222.

Bollerslev, Т., 1986, Generalized Autoregressive Conditional Heteroskedasticity,

Journal of Econometrics, 31, 307-327. -, 1987, A Conditional Heteroskedastic Time Series Model for Speculative

Prices and Rates of Return, Review of Economics anil Statistics, 69, 542-547.

-, 1990, Modelling the Coherence in Short-Run Nominal Exchange Kales: A

Multivariate Generalized ARCH Approach, Review of Economics ami Statistics, 72, 498-505.

Bollerslev, Т., and R. Engle, 1993, Common Persistence in Conditional Variances, Econometrica, 61, 166-187.

Bollerslev, Т., andj. Wooldridge, 1992, Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, Econometric Reviews, \\, 143-172.

Bollerslev, Т., R. Chuu, and K. Kroner, 1992, ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics, 52, 5-59.

Bollerslev, Т., R. Engle, and D. Nelson, 1994, ARCH Models, in R. Engle and D. McFaddcn (eds.), Handbook ofEronomrlric.s,Vo\. IV, Elsevier, Amsterdam.

Bollerslev, Т., R. Engle, and J. Wooldridge, 1988, A Capital Asset Pricing Model with Time Varying Covariances, y imm/ of Political Economy, 96, 11(>-13I.

Bonomo, Marco, and Rene Garcia, 1993, Disappointment Aversion as a SoliuioiS to the Equity Premium and the Risk-Free Rate Puzzles, CRDE Discussion Paper 2793. University of Montreal.

Boudoukh, [., and M. Richardson, 1994, The Statistics of Long-Horizon Regressions Revisited, Mathematical Finance, 4, 103-119.

Boudoiikli, j., Richardson, M., Stanton, R. and R. Whitelaw, 1995, Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Mullivai i-Y ate Density Estimation Approach, working paper, Stern School of Business,

New York University.

iljoiidoiikh, J., M. Richardson, and R. Whitelaw, 1994, Л Tale of Three Schools: j Insights on Autocorrelations of Short-Horizon Stock Returns, Iteview of

! Financial Studies, 7, 539-573.

Box, G., and D. Cox, 1904, An Analysis of Transitu illations, Journal of the Royal Statistical Society, Seiies 1Ц26), 211-243.

В ix, (,., and D. Pierce, 1970, Dislrihuiion til Residual Autocorrelations in Auloregressive-lntcgrated Moving Average Time Series Models, journal of the American Statistical Association, 65, 1509-1526.

В >yle. P., 1977, Options: A Motile Carlo Approach, Journal of Financial Economics, 4, 323-338.

-, 1988, A lattice Framework for Option Pricing with Two State Variables,

Journal of Financial and Quantitative Analysis, 1-12.

Brainard, W., W. Nelson, and M. Shapiro, 1991, The Consumption Beta Explains Expected Returns at Ix>ng Horizons, unpublished paper, Yale University and University of Michigan.

Branch, B and W. Freed, 1977, Bid-Asked Spreads on the AM EX and the Big Board, Journal of Finance, 32, 159-163.

Brain), P., D. Nelson, and A. Suniei, 1995, Good News, Bad News, Volatility, and Betas, Journal of Finance, 50, 1575-1603.

Breeden, D., 1979, An Intertemporal Asset Pricing Model with Stochastic Gill-sumption and Investment Opportunities, Journal of Financial Economics, 7, 265-296.

Bidden, 1)., and R. I.it/.cnbcrgcr, 1978, Prices of Stale-Contiiigenl Claims Implicit in Option Prices, Journal of Business, 51, 621-651.

Breeden, I)., M. Gibbons, and R. I.il/.eiibcrgei, 1989, Empirical Tests of the Consumption-Oriented CAlM, journal of Finance, 44, 231-262.

Iltcen, W., and R. Korajczyk, 1993, On Selection Biases in Book-to-Market Based Tests of Asset Pricing Models, Working Paper 167, Northwestern University, Evanston, 11..

Brriman, M., 1979, The Pricing of Conlingeiu Claims in Discrete-Time Models, Journal of Finance, 34, 53-68.

Breiinau, M., and T. Copeland, 1988, Slock Splits, Slock Prices, and Transaction Costs, Journal of Financial Economics, 22, 83-101.

Bitim.iii, M., and E. Schwartz, 1977a, Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion, Journal of Finance, 32, 1699-1715.

-, 1977b, The Valuation of American Put Options, Journal of Finance, 32,

449-462.

-, 1978, Finite Difference Methods and Jump Processes Arising in the Pricing

of Contingent Claims: A Synthesis, Journal of Financial and Quantitative Analysis, 13, 461-474.

-, 1979, A Continuous-Time Approach to the Pricing of Bonds, Journal of

Hanking and Finance, 3, 13.3-155. Been nan, M., N. Jegadecsh, and B. Swaminathan, 1993, Investment Analysis and the

Adjustment of Stock Prices lo Common Information, limine of Financial

Studies. 6, 799-824.

Brenner, R., R. 1 larjes, and K. Kroner, 1996, Another Look at Alternative Models of the Short-Term Interest Rate, journal oj Financial and Quantitative Analysis, 31, 85-107.

Brock, W., 1986, Distinguishing Random and Deterministic Systems: Abridged Version, Journal of Economic Theory, 40, 168-195.

Brock, W., and C. Sayets, 1988, IsThe Business Cycle Characterized By Deterministic Chaos?. Juuniulaf Monetary Fjonamiis, 22, 71-90.

Brock, \V W. Dcrlieri, andj. Sclicinkinan, 1987, A Test lor Independence Based on die Correlation Dimension, unpublished paper, University of Wisconsin at Madison, I nivcrsity ol I louslon, anil University of Chicago.

Block, W..J. I.akonisliok, and B. LeBaion, 1992, Simple Technical Trading Rules and the.Stochastic Ptopet lies of Slock Returns, journal of Finance, 17, I 731-1761.

Brodsky, В.. 1993. XonpinninetiitMethods in (.liange-Poiitt lmhleins, Klttwer Academic Publishers, Boston.

Bronfman, (.., H19I, l-ioin Trades lo Orders on the NYSE: Pitfalls in Inference Using Transactions Data. working; paper, Depatlineiu of Finance and Real Kstaie, College of Business and Public Administration, University of Arizona, Tucson, A/..

Brootuhcad, D., and D. Lowe, 19K8, Multivaiiable Functional Interpolation and

Adaptive Networks, Cnm/ilex Systems 321-355. Blown, S., and P. Dybvig, I98(i, lite l-.mpirical Implications of the Cox, higcrsolt,

Ross Theory of the Term Structure ol Interest Rates, journal oj Finance, 11,

Id 7-1132.

Bi own, D and R. Jennings, I 989, On Technical Analysis, Review oflitin neial Si uelics, 2, 527-552.

Brown. R., ami S. Srli.ieler. 1991, Interest Rale Volatility and lite let in Slrncliire, unpublished paper, Loudon Business School.

--, IIM, The lerm Siriicnite of Real Interest Rates and the Cox, Ingersoll,

and Ross Model, Journal of Financial Economics, 35, 3-42.

Brown, S., and . Warner, 1980, Measuring Senility Price Performance, /опит/ of Financial Economics, 8, 205-258.

-. HIK5, Using Daily Stock Returns: The Case ol Event Studies, panned of

Eiiiniiciiil Economics, 14, 3-31.

Biown, S and M. Weinsiein, 1085, Derived Factors in Event Suidics, journal of Financial Economies, 14, 401-495.

Brown, S., \V. (.oei/iiianii, and S. Ross, 1995, Survival, fonrnalof Finance, 50, 853-873.

But nside, (1994, I l.tnsen-agannalhan Bounds as Classical Tests of Asset Pricing Models. journal of Business anil Economic Statistics, 12, 57-79.

Campbell, C, and C. Waslcy, 199:1. Measuring Seciuily Price Performance Using Daily NASDAO Reitit ns, Journal of Financial Economics, 3.3, 73-92.

t ainpbcll, ].. 1981), Bond and Slot к Returns in a Simple Exchange Model, ()uarleil\ Journal of Economics, 101, 785-803.

, 1987, Stock Ret tit ns and die Term Si run tire, Journal of Financial Eioiinmit s, 18,373-399.

, 1991, Л Vai iaitt e Decomposition for Stock Returns, Economic jinniial. 1(11. 157-179.

, 1993a, Intertemporal Asset Pricing without Consumption Dala, Anient tin Economic Itcvicw. 83, 487-512.

-, 1993b, Why Long Horizons? A Study of Power against Persistent Alternatives, unpublished paper, Princeton University.

-, 1995, Some Lessons from the Yield Curve, Journal of Economic Perspectives,

9(3), 129-152.

-, 1990a, Understanding Risk and Return, Journal of Political Economy, 104,

298-345.

-, 1996b, Consumption and the Stock Market: Interpreting International

Evidence, NBER Working Paper 5610, National Bureau of Economic Research, Cambridge, MA.

Campbell, J., and). Ammer, 1993, What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, Journal of Finance, 48, 3-37.

Campbell,)., antlj. Cochrane, 1995, By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, unpublished paper, Harvard University and University of Chicago. Campbell, J and L. Hentschel, 1992, No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Journal of Financial Economics, 31, 281-318.

Campbell, [., and H. Koo, 1996, A Comparison of Numerical and Analytical Approximate Solutions to an Intertemporal Consumption Choice Problem, Journal of Economic l}ynamics and Control, forthcoming. Campbell, J., and A. Kyle, 1993, Smart Money, Noise Trading, and Stock Price Behavior, Review of Economic Studies, 60, 1-34.

Campbell, J., and N. G. Mankiw, 1987, Are Output Fluctuations Transitory?, Quarterly Journal of Economics, 102, 857-880.

-, 1990, Permanent Income, Current Income, and Consumption, Journal of

Business and Economic Statistics, 8, 265-278.

Campbell, J., and P. Perron, 1991, Pitfalls and Opportunities: What Matroe-conomists Should Know about Unit Roots, NBER Macroeconomics Annual,

6,141-201. I

Campbell, J., and R. Shiller, 1987, Cointegration and Tests of Present Value Models, journal of Political Economy, 95, 1062-1087. !

-, 1988a, The Dividend-Price Ratio and Expectations of Future Dividendiand

Discount Factors, Review of Financial Studies, 1, 195-227.

-, 1988b, Stock Prices, Earnings, and Expected Dividends, /ounin/o/Wnawr,

43, 661-676.

-, 1991, Yield Spreads and Interest Rate Movements: A Birds Eye View,

Review of Economic Studies, 58, 495-514.

- , 1996, A Scorecard for Indexed Government Debt, NBER Macroeconomics

Annual, forthcoming.

Campbell, J., S. Grossman, and J. Wang, 1993, Trading Volume and Serial Correlation in Stock Returns, Qiiarterly journal of Economics, 108, 905-939.

(larlstein, E., H. Muller, and D. Sieguuind, eds., 1994, Change-Point Problems, Institute of Mathematical Statistics, Hayward, CA.