## 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