《量化金融R语言高级教程》一1.4 参考文献

本节书摘来异步社区《量化金融R语言高级教程》一书中的第1章，第1.4节，作者： 【匈牙利】Edina Berlinger（艾迪娜•伯林格） , 等 译者： 高蓉 责编： 胡俊英，更多章节内容可以访问云栖社区“异步社区”公众号查看。

1.4　参考文献

• 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: ImplementationWithin 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.