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 ...
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