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Nonlinear time series models in empirical finance

, and . Cambridge Univ. Press, Cambridge u.a., Reprinted edition, (2002)

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Recognizing changing seasonal patterns using artificial neural networks, and . Journal of Econometrics, 81 (1): 273--280 (November 1997)A multivariate approach to modeling univariate seasonal time series. Journal of Econometrics, 63 (1): 133--151 (July 1994)The use of dummy variables in consumption models, and . Econometric Reviews, 9 (1): 109--116 (1990)A differencing test. Econometric Reviews, 14 (2): 183--193 (1995)On trends and constants in periodic autoregressions, and . Econometric Reviews, 18 (3): 271--286 (1999)Consideration sets, intentions and the inclusion of "don't know" in a two-stage model for voter choice, , , , , and . International Journal of Forecasting, 21 (1): 53--71 (00 2005)Forecasting and seasonality, and . International Journal of Forecasting, 13 (3): 303--305 (September 1997)Testing for Unit Roots and Non-linear Transformations, and . Journal of Time Series Analysis, 19 (2): 147--164 (60 03 1998)doi: 10.1111/1467-9892.00083.Handbook of Economic Forecasting. Volume 1, chapter Chapter 18 Forecasting in Marketing, page 983--1012. Elsevier, (2006)Advances in Econometrics, , and . Volume 16, chapter Econometric analysis of the market share attraction model, page 223--256. JAI, (2002)