Handbook of Economic Forecasting part 105 potx

I-2 Author Index 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 Author Index I-3 Buchinsky, 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 I-4 Author Index Chulani, 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, Author Index I-5 732n; 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 I-6 Author Index Fisher, 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 Author Index I-7 Gregoir, 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 I-8 Author Index Hogue, 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 Author Index I-9 Kang, 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 I-10 Author Index Lancaster, 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 Author Index I-11 Ma, 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 . 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,. 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,. 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,