References and reading list

  • Andersen, Torben G; Davis, Richard A.; Kreiß, Jens-Peters; Mikosh, Thomas (ed.) (2009). Handbook of Financial Time Series
  • Andersen, Torben G. and Benzoni, Luca (2011). Stochastic volatility. Book chapter in Complex Systems in Finance and Econometrics, Ed.: Meyers, Robert A., Springer
  • Brooks, Chris (2008). Introductory Econometrics for Finance, Cambridge University Press
  • Fry, Renee and Pagan, Adrian (2011). Sign Restrictions in Structural Vector Autoregressions: A Critical Review. Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-60, December.
  • Ghalanos, Alexios (2014) Introduction to the rugarch package http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
  • Hafner, Christian M. (2011). Garch modelling. Book chapter in Complex Systems in Finance and Econometrics, Ed.: Meyers, Robert A., Springer
  • Hamilton, James D. (1994). Time Series Analysis, Princetown, New Jersey
  • Lütkepohl, Helmut (2007). New Introduction to Multiple Time Series Analysis, Springer
  • Murray, Michael. P. (1994). A drunk and her dog: an illustration of cointegration and error correction. The American Statistician, 48(1), 37-39.
  • Martin, Vance; Hurn, Stan and Harris, David (2013). Econometric Modelling with Time Series. Specification, Estimation and Testing, Cambridge University Press
  • Pfaff, Bernard (2008). Analysis of Integrated and Cointegrated Time Series with R, Springer
  • Pfaff, Bernhard (2008). VAR, SVAR and SVEC Models: Implementation Within R Package vars. Journal of Statistical Software, 27(4)
  • Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: Journal of the Econometric Society, 165-193.
  • Pole, Andrew (2007). Statistical Arbitrage. Wiley
  • Rachev, Svetlozar T., Hsu, John S.J., Bagasheva, Biliana S. and Fabozzi, Frank J. (2008). Bayesian Methods in Finance. John Wiley & Sons.
  • Sims, Christopher A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1-48.
  • Tsay, Ruey S. (2010). Analysis of Financial Time Series, 3rd edition, Wiley
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