Bibliografia

Wei, William W. S. (2019), Multivariate Time Series Analysis and Applications (Wiley Series in Probability and Statistics). 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. Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997), The Econometrics of Financial Markets, Princeton University Press: Princeton, NJ. Cochrane, J.H. (2005), Asset Pricing, Princeton University Press: Princeton, NJ. Professor's Lecture Notes, data and software notebooks/files.:

Curto, J. Dias (2021), Econometrics and Statistics - over 100 problems with solution. Amazon. Financial Econometrics: Brooks, C. (2019); Cuthbertson, K. (1996); Gourieroux, C. and Jasiak, J. (2001); Blake, D. (2001). Econometrics: Hayashi, F. (2000); Davidson, J. (2000); Greene, W. (2011).: