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, 1997).

2.

Cuthbertson, K. & Nitzsche, D. Quantitative financial economics: stocks, bonds and foreign exchange. (Wiley, 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, 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. vol. The Pearson series in economics (Pearson, 2015).

7.

Watson, M. W. Vector autoregressions and cointegration. in Handbook of Econometrics vol. 4 2843–2915 (Elsevier, 1994).