I larrison, M.. 1985, lirowninn Motion and Slwhnslir Flow Systems, John Wiley and Sons, New Yni k.

11.n i isiin. M., and 1). Keeps, 1979. Martingales and Ai Milage in Multiperiod Securities Markets, Journal of Economic Thrniy, 20. 381-108.

I larrison. M., amLS. Pliska, 1981, Martingales am I Stochastic Integrals in the Theory ot Continuous Trading, Slot bustic Iroccwcs mid Ibcn Applications, 11.215-200.

I larvcv. Л., E. Ruiz, and N. Sin ph.oil. 199 I. Multivariate Smrhasiic Variance Models. Review of Economic Studies, 01. 2-17-201.

1 larvcv. C, 1988. fhe Real Term Slriiclure and Consumption (it owlh, Journal of l-innuciul Economies, 22, 305-33 I.

--, 1989. Time-Varying Contlitioti.il Covai iaines in Tests of Asset Pricing Models. Journal of Eiuancial Economic, 21, 289-317.

-, 1991. fhe World Price of Covariance Risk. Jam nal of Finance, 40, 111-157.

I latvev, С and G. Zhou, 1990, B.iyesian liilerenrc in Asset Pi icing Tests, punned oj hinancial Economics, 20, 221-254.

Hasbroiick, ]., 1988. Trades, Quotes, Inventories, and Inloi tnaliou, journal oj Financial Economics, 22, 229-252.

-. И.191.1, Measuring ihe Information Content ol Stock Trades, Journal of

Finance. 40. 179-208.

-. 1991b, The Summary lnlorinalivencss ol Slot к Trades: An Econometric

Analysis, Review of Financial Sludie.s, 4, 571-595.

Ilasbrotick..]., and T. Ho. 1987, Order Arrival, Quote Behavior, and the RcUun-Generating Process, Journal of Finance, 42. 1035-10-18.

I laiismaii, ., 1978. Specilicalioii Tests in Ecoimnieiiics. I.tonmiiclrica, 40. 1251-1271.

1 latismau, ]., A. Lo, and C. MacKinlay, 1992, An Ordered Irohil Analysis of Transaction Stock Prices, Journal oj Financial Economics, 31, 319-379.

lie. П., and II. I.eland, 1993, On Equilibrium Asset Price Processes, Review of FinanrialStudies, 0, 593-017.

I le. 11.. and 1). Modest, 1995, Markei Frictions and Consumption-Based Asset Piic-ing. Journ/tl of Political Economy, 103, 91-1 17.

1 leatli, I).. R. anow, and A. Motion, 1992. Bond Pricing and the Term Structure of Interest Rates: A New Methodology lor Contingent Claims Valuation, Ettutomtiriea, 00, 77-105.

Healon, .. 1995. An Empirical Investigation ol Asset Pitting with Temporally Dependent Preference Spec ilic.ilioits, Econtniteltieti, 081-717.

1 lealoii, ].. and 1). Lucas, 1990, Evaluating die Effects of Incomplete Markets on Risk Sharing and Asset Pricing, journal of Political Economy. 104, 008-712.

I Iclson. 11., and D. Samson, 1907. Past and Future Mallieutalica Scandinavia. 21. 5-10.

Jamilton, J., 1994, Time Serin Analysis, Princeton University Press. Iriiurliui. N. jbmiiieislcy,)., anil I). I landsi onib, НИИ. Mottle Carlo Methods, Chapman and 1 tall.

i 1.411(1(111.

immersley, J., and J. Matildon, H).r)(i, General Principles olAntithetic Variaics.

Imceedings of the Cambridge Philosophical Society, 52, 47(>-IK I. impel, К., 1986, Robust Statistics: The Approach liased on Influence Inactions. John

Wiley ami Sons, New York, inseii, I.., 1982, l-irge Sample Properties of Generalized Method ol Moinents Estimators, Econometrica, 50, 1029-1051.

-, 1985, A Method for Calculating hounds on the Asympioiic Covariance

Matrices of Generalized Method ol Moments Estimators, journal oj Econometrics, 30, 203-238.

I iauscn, I... and R. Hodrick, Ц180, Forward Exchange Rales as Optimal Iretlictois j of Future Spot Rates: An Econometric Analysis, Journal of Political Economy,

! 88,829-853.

-j-, 1983, Risk Averse Speculation in the Forward Foreign Exchange Maikel:

An Econometric Analysis ol Linear Models, in J. Frenkel (ed.). Exchange Hales and International Macroeconomics, University of Chicago Press. (!hk ago. IL.

Hansen, I... and R. Jagaiuialhan, 1991, Implications of Security Market Dala for Models of Dynamic Economies, journal of Political Economy, 99, 225-202.

Hansen, I.., and S. Richard, 1987. The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. Econometrica, 55, 587-013.

Hansen, I.., and ). Scheinkniaii, 1995, Back to the Future: Gcncraihig Moment Implications for Continuous-Time, Markov Processes, Econometrica. 03, 707-804.

Hansen, 1.., and K. Singleton, 1982, Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, 50, 1209-1288.

-, 1983, Stochastic Consumption, Risk Aversion and ihe Temporal Behavior

of Asset Returns, Journal of Political Economy, 91, 249-208.

Hansen, 1.., J. Healon, and E. Liittmer, 1995, Econometric Evaluation ol Asset Pricing Models, Review of Financial Studies, 8, 237-274.

Hansen, !..,.]. Healon, and M. Ogaki, 1988, Efficiency Bounds Implied by Multi-period Conditional Moment Restrictions, Journal of the American Statistical Association, 83, 803-871.

I laidle, W., 1990, Apjilied rsttnparamettit Regression, Cambridge University Press. Cat it-bridge, UK.

I lai lis, 1.., 1990, Estimation ol Stock Variance-sand Serial Covariances front Disc iclc Observations, Journal of Eiuancial and (.htanlitalive Analysis, 25, 291-300.

-, 1991, Stock Price Clustering and Discreteness, Review of Financial Studies,

4,389-415.

I lanis, 1.., C. Solianos, and.]. Shapiro, 1994. Program Trading and liilrad.iv Volatility. Review / Eiuancial Studies. 7, 053-085.

llctiriksson. К., and К. Mo...... MINI. On Market riming and Investment Peilor-

mant е. II: Sialislii al Pun ctlurcs lin Evaluating Forecasting Skills, journal oj Business, 5 I, f> I 3-533.

Ilemseliel, 1... 1995, All in the I.uiulv: Nesting Syimiictru and Asvmmeli it (;.\K( :i I

Models, /шипи/ nf Financial Eionniiiies, 39. 71-1(11. I lerintlin I. N.. И IS I. Л Кит liinial ( < ill i .tl Limit Theorem lor Wcaklv l)e)enileni

Sequences ol Random \ai ialiles. Annals о/ Ilohaliilils, 12, 141-153. Ilert/, ].. A. Krogh, anil R. Calmer. I .MM . Intioiluiliini In tin- Theory nj Xenial < jimjiiila-

linn. Addisoti-Wcslcy Ilililisliing Cotnpauv. Reading, MA. I lesion, S.. I)1.)-. Testing (aitiliiiiiiiiisTimc Models of I lie let ill Structure of Inlet est

Rales, iiunthlislied paper. Yale I niversitv. . 1993, A Closed-Form Solution lor Options wit Ii Stocliatic Volaliliiv with

Applications to Bund and Cut rent v Options, Rrvieuui)< Finnmrinl Studies. Ii.

327-313.

I licks, J., 1946, Value mid Cnjnlal (2d ed.), Oxford University Press, Oxfoid. Ilinicli. M., and I). Patterson, I.IKfi. Evidence of Nonlinearily in Daily Stock Kc-

. tin ns. Jouiiml oj ISusiiwss nnrl F.iniunnic Statistics, 3, li!)-77. Ho, I., and S. Lee, I.IKti. Term Strut tore Movements and Pricing Interest Rale

Contingent (.laitns. Jinn mil oj Funnier, II, 101 1 -1029. I In. Г., and 11. Stoll, 19811. < )u Dealeisltip Markets under Competition, jinn mil и/ Finiiiur. 35. 259-207.

, IIS I. < )piini,tl De.tlet I*i it ing nutlet Transactions and Rettn n Im en. ii in v. Journal oj Financial F.conomii s. 9. 17-73. Ilotlrick. R., 1992. Dividend Yields and Expected Stock Returns: Alternative !u>-cedurcs lot Inlereiue and Measurement, Itivirw oj Financial Studies f>.

:(.ri7-.iKii.

Iloel. P., S. Purl, and C. Si one, 19/2. 1 ntiiiiliulinii lo Stochastic Ilocesses. Houghton Mifllin. Huston, MA.

Ilolmaiin, N.. E. Platen, and M. Si Imci/er, 1992, Option Cricing under hitoiii-

pleteitess and Stochastic Volatility, Mathematical Finance, 2, 153-187. I lugailh. R., and M. Redei, eds., 19K7. liutiiniiil Chain: The Contrast Itrlwirn Einnoinirs

anil Isyiholngy, I niversiiy ol Clti< ago Press, Chicago, II .. I Inlden. A., ed.. l!)Kli. Chaos. Prim eiun I niversilv Press, Princeton, N. Hot nik. K.. 1989, Mnlttl.ivei feed 11 и wan I Networks Are Universal Approximators.

Xruial Xetwoilis. 2(5). 359-366. I liitnik. К.. M. Slim In i.mlie and 11 While. 1990. Universal Approxiuialii.....I им

Unknown Mapping anil Its Derivatives, Xcunil Xi/morlis, .3, 55 I -500. Husking.).. l9SI. Fi;utiuiial Dillerencing, Itiomeliiha, 08, 105-170. Ilsieli. I).. 1989. listing lot Noitline.il Dependence in Dailv Eoieign Exchange

Rales. jinn mil / lliiunc\s. 02, 339-308.

- , I.IM . (:haos atul Nonlinear Ihii.unii s: Applit -at ion to Final trial Markels. Join mil nj Finnm r. Hi. 1839-1877. . 1993. Iiuplic.ti ions ol Nonliiie.n Dwt.miics lor Financial Risk Management. Join mil nj Finn in nil ami Quantitative Analysis. I!).).!, 28, I I.

I Isti, D., R. Miller, and D. Wichern. 197-1, On the Stable Paretian Behavior of Sljuck Market Prices, journal oj the American Statistical Assmiation, 6.9, 108-113,.

I luatig, (.., 1992, Incline Xotes on the Theory of Financial Markets in Continuous Tiuie.

Huang, (.., and R. l.ilzenberger. 1988, Foundations fm Financial Economics, North-Holland. New York. *

Huang, R., and H. Stoll, 199f>a. The Components of the Bid-Ask Spread: A General Approach, Financial Markets Research Center Working Paper 94-33, Owen Graduate School of Management, Vanderbili University.

-, 1995b, Dealer Versus Auction Markets: A Paired Comparison of Execution

Costs on NASDAQ and the NYSE, Financial Markers Research Outer Working Paper 95-16, Owen Graduate School of Management, Vandcrbilt University.

1 Inbei, P., 1985, Projection Pursuit, Annals of Statistics, 13(2), 435-525.

1 ltiberman, ( ., 1982, A Simple Approach lo Arbitrage Pricing Theory, Journal of

Economic Theoiy, 28, 183-191. I Itibcrinan, G..S. Kandel, and R. Stambaugh, 1987, Mimicking Portfolios and Exact

Arbitrage Pricing, Journal of Finance, 42, 1-9. Hiiberman, G, and S. Kandel, 1987, Mean-Variance Spanning, yoMrnn/с/ЛТк/псг,

42(4), 873-888.

1 lull, ., 1993, 0/itions, Futures, anil Other Derivative Securities (2d ed.), Prentice-Hall, Englcwood Cliffs, New Jersey.

Hull, ., and A. White, 1987, The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281-300.

-. 1990a, Pricing Interesl-Rate-Dertvative Securities, Review of Financial Studies, 3, 573-592.

-, 1990b, Valuing Derivative Securities Using the Explicit Finite Difference

Method, Journal of Financial and Quantitative Analysis, 25, 87-100.

I hirst, II., 1951, Long Term Storage Capacity of Reservoirs, Transactions of Ihe American Society of Civil Engineers, 116, 770-799.

I lint hitison, )., A. Lo, andT. Poggio, 1994, A Nonparametric Approach to the Pricing and Hedging of Derivative Securities Via Learning Networks, Journal о/7-Умшкг, 49, 851-889.

Ingeisoll, ., 1987, Theoiy of Financial Decision Making, Rowman & Litllefield, Totowa,

nj. ;

lngersoll, j.Jr., j. SkeUon, and R. Weil, 1978, Duration Forty Yeats Utter, Journal of Financial and Quantitative Analysis, 13, 627-650.

ho. Is... 1951, On Stochastic Differential Equations, Memoirs of the American Mathematical Society, 4, I -51.

]ai-kwerih, .. and M. Rubinstein, 1995, Recovering Probability Distributions from Contemporary Security Prices, working paper, Haas School of Business, University of California at Berkeley.

lacqiiicr, I-.., N. Poison, and P. Rossi, 1994, Bayesian Analysis of Stochastic Volatility Models. journal of Business and Economic Statistics, 12, 371-389.

Jagar nathan, R., and Z. Wang, 1996, Tin- Conditional CAlM and (he Cross-Section ol Expected Returns, Journal of Finance, 5 1, 3-53.

Jain, P., 198G, Analyses of the Distribution of Security Market Model Prediction Errors for Daily Returns Data, Journal of Accounting Research, 24, 7(>-90.

jamslYidian, F 1989, An Exact Bond Option Formula, journal of Finance, 41, 205-

I 209.

Jarrcll, C, and A. Poulscn, 1989, The Relurns to Acquiring Firms in fender Oilers: 1 Evidence from Three Decades, Financial Management, 18, 12-19.

Jarrcll, C, J. Bricklcy, and J. Netler, 1988, The Market for Corporate Control: The Empirical Evidence Since 1980, Journal of Economic lersjiectives, 2, 639-658.

Jarrow, R.,andA. Rudd, 1982, Approximate Option Valuation for Arbitrary Stochastic Processes, jWniai of Financial Economics, 10, 347-369.

Jegadecsh, N., 1990, Evidence of Predictable Behavior of Security Returns, Journal

of Finance, 45,881-898. -, 1991, Seasonality in Slock Price Mean Reversion: Evidence from the U.S.

and the U.K., Journal of Finance, 46, 1427-1444. Jegadecsh, N., and S. Titman, 1993, Returns to Buying Winners and Selling Losers:

Implications for Stock Market Efficiency, Journal of Finance, 48, 65-91.

-, 1995, Ovencaction, Delayed Reaction, and Contrarian Profits, Review oj

Financial Studies, 8. 973-993.

Jensen, M., and R. Rtihack, 1983, The Market for Corporate Control: The Scicnlilic Evidence, Journal of Financial Economics, 11, 5-50.

Jerison, D., I. Singer, and D. Slroock (eds.), 1996, The 1994 Wiener Symjmsium Imceedings, American Mathematical Society, Providence, RI.

Jobson, D., and R. Korkie, 1982, Potential Performance and Tests of Portfolio F.lli-ciency, Journal of Financial Economics, 10, 433-466.

-, 1985, Some Tests of Linear Asset Pricing with Multivariate Normality,

Canadian Journal of Administrative Sciences, 2, 114-138.

Johnson, H 1983, An Analytic Approximation of the American Put Price, journal of Financial and Quantitative Analysis, 18, 141-148.

Johnson, H., and D. Shanno, 1987, Option Pricing when the Variance Is Changing,

journal of Financial and Quantitative Analysis, 22, 143-151. Jones, I.., 1987, On a Conjecture of Hither Concerning the Convergence of Projection Pursuit Regression, Annals of Statistics, 15(2), 880-882. Jdreskog, K., 1967, Some Contrilnniotis to Maximum Likelihood Factor Analysis, 0 Isychomelrika, 34, 183-202.

Judge, JC, W. Griflillis, C. Hill, II. l.ikcpolil, and T. Lee, 1985, The Theory and Iraclue ) nj Econometrics, John Wiley and Sons, New York.

Kagel, J., and A. Roth, eds., 1995, Handbook oj Exfienmental Economics, Princeton University Press, Princeton, NJ.

Kahneman, D., and A. Tversky, 1979, Prospect Theory: An Analysis of Decision ! Under Risk, Econometrica, 47, 263-291.

Kalos, M., and P. Whitlock, 1986, Monte Carlo Methods, Volume I: liusics, John Wiley and Sons, New York.

Kandel. F.., and I.. Marx, 1996, NASDAQ Market Structure and Spread Patterns, unpublished working paper, Simon Graduate Sc bool ol Business, University of Rochester.

Kandel. S., 1984, The Likelihood Ratio Tesi of Mean-Variance Ellit iency without a Riskless Asset, Journal of Financial Economies, 13, 575-592.

Kandel. S., R. McCulloch, and R. Slambaiigh, 1995. B.iyesian Inference and Portfolio Efficiency, Review of Ibumcial Studies, 8, 1-53.

Kandel, S., and R. Stambaugh, 1987, On Coi iclations ami Inferences about Mean-Variance Efficiency, Journal if Financial Economics. 18, 61-9(1.

-. 1989, Modelling Expected Slock Returns for Long ami Short Horizons,

Working Paper 42-88, Rodney L. While Center, Wharton School, University of Pennsylvania.

-, 1990, A Mean-Variance Framework lor Tests of Asset Pricing Models, Review

of Financial Studies, 2, 125-156.

--, 1991, Asset Returns and intertemporal Preferences, Journal of Monetary

Economies, 27, 39-71.

-, 1995, Portfolio Inefficiency and the Cross-Section of Expected Returns,

journal of Finance, 50, 157-184. Kane. F... 1970. Tbe Term Structure of Inlet est Rales: Ao Attempt lo Reconcile

Teaching with Practice, Journal of Finance. 25, May, 361-37-1.

-. 1983, Nested Tests of Alternative Term Structure Theories, Review of Economics and Statistics, 65, 115-123.

Kane, F... and 11. Unal, 1988, Change in Assessments of Deposil Institution Riskiness, Journal of Financial Services Research, 1, 207-229.

Kaipofl.J., 1980, A Theory ofTradhig Volume, Journal of Finance, 41. 1069-1088.

--. 1987, The Relation between Price Changes and Trading Volume: A Survey,

Journal of Financial and Quantitative Analysis, 22, 109-126.

Kt iin, D., 1989, Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns: fhe Case ol Common Slocks at Calendar Turning Points. Journal ofFinuu-ciul Economics, 25, 75-97.

Keiin. !).. and A. Madhavan, 1995a. Anatomy of the Trading Process: Empirical Evidence on the Behavior ol Institutional Traders, /<шпш/ of Financial Economies, 37, 371-398.

-, 1995b, Execution Costs and Investment Perlorniaiice: An Empirical Analysis of Institutional Equity Trades, wot king papei. St bool of Business Administration, University of Southern Calilornia.

--, 1996, The Upstairs Markei for Large-Block Transactions: Analysis and

Measurement of Price Ellccls, Кпчае oj Financial Studies. 9, 1-36.

Kejin, D., and R. Stambaugh, 1986, Predicting Relurns in Stock and Bond Markets, journal of Financial Economics, 17, 357-390.