Book Image

Mastering R for Quantitative Finance

Book Image

Mastering R for Quantitative Finance

Overview of this book

Table of Contents (20 chapters)
Mastering R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Index

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