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