Bibliografía básica

             W. Enders (2003). Applied econometric time series. Wiley Series in Probability and Mathematical Statistics

Bibliografía complementaria

 Alexander, C. (2001). Market Models. A Guide to Financial Data Analysis. Wiley
Bauwens, L and Giot, P. (2001). Econometric Modelling of Stock Market Intraday Activity. Kluwer Academic
Box, G.E.P., Jenkins, G.M. and Reinsel, G. (1994). Time Series Analysis: Forecasting and Control . Holden Day
Campbell, J.Y., W. Lo and A.C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton: Princeton University Press
Carrascal, U., Y. González y B. Rodríguez (2001). Análisis Econométrico con Eviews.. RA-MA. Madrid
Cuthbertson (1996). Quantitative financial economics. John Wiley
Davidson J. (2000). Econometric theory. Ed. Blackwell
Granger C. W. J. y Newbold P. (1986). Forecasting economic time series. Academic Press
Greene, W. (1998). Análisis econométrico. Ed. Prentice Hall, Cap.18
Espasa, A. y Cancelo, J.R. (1993). Métodos Cuantitativos para el Análisis de la Coyuntura Económica . Alianza
Franke, J., Härdle, W. y Hafner, C.M. (2004). Statistics of Financial Markets. Springer
Gouriéroux, C. (1997). ARCH Models and Financial Applications. Springer
Hamilton, J. (1994). Time Series Analysis. Princeton U.P.
Hol, E. (2003). Empirical Studies on Volatility in Internacional Stock Markets. Kluwer Academic
Mills, T. C. and R. N. Markellos (2008). The econometrics modelling of financial time series. Cambridge University Press
Peña, D., Tiao, G.C and Tsay, R.S. (2001). A Course in Time Series Analysis. Wiley
Wooldridge, J. M. (2006). Introducción a la econometría: Un enfoque moderno (2ª ed). Madrid. Thomson