Financial Econometrics
7.5 credits
Reading list, Master's level, 2ST119
A revised version of the reading list is available.
Main group 1
- Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig, The econometrics of financial markets, Princeton, N.J., Princeton Univ. Press, 1997Compulsory
Slides and notes in the lectures, and scientific articles.
Supplementary readings
- Tsay, Ruey S., Analysis of financial time series, 2. ed., Hoboken, N.J., Wiley, 2005
* Compulsory