On the inference of stochastic regression models

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I have mainly considered estimation and testing of the asymptotic covariance matrix of the QMLE or GMME in stochastic regression models where explanatory variables are stochastic. In these models, I have obtained asymptotic results and also simulation results using some bootstrap methods when explanatory variables are given (conditional models) as well as not given (unconditional models). In addition, I have obtained an empirical result using foreign exchange rate data in the conditional theteroskedastic VAR model derived from multivariatet distribution, an analysis of cross-correlations using high-frequency future data of energy prices, a new weak exogeneity result, and a note on a bootstrap procedure in White's test of heteroskedasticity.