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A reality check for data snooping
White, Halbert, (2000)
Testing chaotic dynamics via Lyapunov exponents
Fernández RodrÃguez, Fernando, (2000)
The power of bootstrap based tests for parameters in cointegrating regressions
Li, Hongyi, (2000)
Adaptive varying-coefficient linear models
Fan, Jianqing, (2000)
Nonlinear time series : nonparametric and parametric methods
Fan, Jianqing, (2005)
Modelling multivariate volatilities via conditionally uncorrelated components