Bibliography for ECON3003: Econometrics for Macroeconomics and Finance BETA

1.

Campbell, J.Y., Lo, A.W., MacKinlay, A.C.: The econometrics of financial markets. Princeton University Press, Princeton, N.J. (1997).

2.

Cuthbertson, K., Nitzsche, D.: Quantitative financial economics: stocks, bonds and foreign exchange. Wiley, Chichester (2004).

3.

Robert Engle: GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. The Journal of Economic Perspectives. 15, 157–168 (2001).

4.

Hamilton, J.D.: Time series analysis. Princeton University Press, Princeton, N.J. (1994).

5.

Bruce E. Hansen: The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity. The Journal of Economic Perspectives. 15, 117–128 (2001).

6.

Stock, J.H., Watson, M.W.: Introduction to econometrics. Pearson, Boston [Massachusetts] (2015).

7.

Watson, M.W.: Vector autoregressions and cointegration. In: Handbook of Econometrics. pp. 2843–2915. Elsevier (1994). https://doi.org/10.1016/S1573-4412(05)80016-9.