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Cointegration: a survey of recent developments
Dolado, Juan J., (1987)
Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie
Brechtmann, Markus, (1998)
A Bayesian procedure for forecasting with vector autoregressions
Litterman, Robert Bruce, (1980)
Denis Sargan: some perspectives
Robinson, Peter M., (2002)
Robust covariance matrix estimation : "HAC" estimates with long memory/antipersistence correction
Robinson, Peter M., (2004)
Modeling memory of economic and financial time series
Robinson, Peter M., (2005)