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, SpringerPfaff, 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.
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