References

Center for Research in Security Prices (2003), CRSP/Compustat Merged Database Guide, Chicago: The University of Chicago Graduate School of Business, http://www.crsp.uchicago.edu/support/documentation/pdfs/ccm_database_guide.pdf.

Center for Research in Security Prices (2003), CRSP Data Description Guide, Chicago: The University of Chicago Graduate School of Business, http://www.crsp.uchicago.edu/support/documentation/pdfs/stock_indices_data_descriptions.pdf.

Center for Research in Security Prices (2002), CRSP Programmer’s Guide, Chicago: The University of Chicago Graduate School of Business, http://www.crsp.uchicago.edu/support/documentation/pdfs/stock_indices_programming.pdf.

Center for Research in Security Prices (2003), CRSPAccess Database Format Release Notes, Chicago: The University of Chicago Graduate School of Business, http://www.crsp.uchicago.edu/support/documentation/release_notes.html.

Center for Research in Security Prices (2003), CRSP Utilities Guide, Chicago: The University of Chicago Graduate School of Business, http://www.crsp.uchicago.edu/support/documentation/pdfs/stock_indices_utilities.pdf.

Center for Research in Security Prices (2002), CRSP SFA Guide, Chicago: The University of Chicago Graduate School of Business.

Gomez, V. and Maravall, A. (1997a), "Program TRAMO and SEATS: Instructions for the User, Beta Version," Banco de Espana.

Gomez, V. and Maravall, A. (1997b), "Guide for Using the Programs TRAMO and SEATS, Beta Version," Banco de Espana.

Haver Analytics (2001), DLX API Programmer’s Reference, New York, NY.

Stoffer, D. and Toloi, C. (1992), "A Note on the Ljung-Box-Pierce Portmanteau Statistic with Missing Data," Statistics & Probability Letters 13, 391-396.

SunGard Data Management Solutions (1998), Guide to FAME Database Servers, 888 Seventh Avenue, 12th Floor, New York, NY 10106 USA, http://www.fame.sungard.com/support.html, http://www.data.sungard.com.

SunGard Data Management Solutions (1995), User’s Guide to FAME, Ann Arbor, MI, http://www.fame.sungard.com/support.html.

SunGard Data Management Solutions (1995), Reference Guide to Seamless C HLI, Ann Arbor, MI, http://www.fame.sungard.com/support.html.

SunGard Data Management Solutions(1995), Command Reference for Release 7.6, Vols. 1 and 2, Ann Arbor, MI, http://www.fame.sungard.com/support.html.