Bibliografia

Curto, J. Dias (2021), Econometrics and Statistics - over 100 problems with solution. Amazon. Enders, W. (2014), Applied Econometric Time Series, 4th Edition, John Wiley & Sons. Francq, C., Zakoian, J-M., (2019), GARCH Models, Structure, Statistical Inference and Financial Applications, Second Edition, John Wiley & Sons Ltd. Ghysels, E., Marcellino, M., (2018), Applied economic forecasting using time series methods, Oxford University Press. Tsay, R.S., (2014), Multivariate Time Series Analysis, With R and Financial Applications, John Wiley & Sons, Inc. Professor's Lecture Notes, data and software notebooks/files.:

Brooks, C., (2019), Introductory econometrics for finance, 4nd ed., Cambridge University Press. Greene, W., (2018), Econometric Analysis, 8th Edition, Pearson. Philip Hans Franses and Dick van Dijk (2000). Non-linear time series models in empirical finance, Cambridge University Press. Juselius, K., (2006), The Cointegrated VAR Model: Methodology and Applications, Oxford University Press. Helmut Lütkepohl (2007). New Introduction to Multiple Time Series Analysis, Second Edition, Springer Mills, T., (2019), Applied Time Series Analysis: A Practical Guide to Modeling and Forecasting, Academic Press, Elsevier Inc. Bollerslev, T., (1986), Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, pp. 307-327. Granger, C., (2004), Time Series Analysis, Cointegration, and Applications, American Economic Review, 9, pp. 421-425. Hamilton, J. D., (1989), A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, Vol. 57, No. 2 (Mar., 1989), pp. 357-384. Hansen, B.E., (1999), Testing for Linearity, Journal of Economic Surveys, Vol. 13, No. 5, pp. 551-576. Johansen, S., (2004), Cointegration: an overview, http://web.math.ku.dk /~susanne/Klimamode /OverviewCointegration.pdf. Stock, J.H., Watson, M.W., (2001), Vector Autoregressions, Journal of Economic Perspectives, Vol. 15, No. 4, pp. 101?115.: