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
