Introduction to MATLAB:

Kevin Sheppard, Financial Econometrics MFE MATLAB

Notes: Revision 2 (R2012a).
Maximum Likelihood Estimation and Testing:
William Greene, Econometric Analysis, 7th Edition, Chapter 14. A PDF version of the chapter is available on Authors
personal page.
GMM Estimation and Testing:
William Greene, Econometric Analysis, 7th Edition, Chapter 13. A PDF version of the chapter is available on Authors
personal page.
SMM and Indirect Inference:
Paul Fackler and Huseyin Tastan, A framework for Indirect Inference, 2008. This is the accompanying document of
the SGMM package in MATLAB.
Christian Gourieroux and Alain Monfort, Simulation based methods in Econometrics, 1996. Chapters 2,4,6.
State-Space Models and the Kalman filter:
James Hamilton, Time Series Analysis, Chapter 13.
Multivariate distributions and copulas:
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapters 6.2-6.3.
Patton, A.J (2009) Copula-Based Models for Financial Time Series, Handbook of Financial Time Series - pages 767-786.
Extreme value theory:
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 7.
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 Modelling and Predicting Stock Returns

JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 2.
Fama, E.F. and K.R. French (2004): The Capital Asset Pricing
Model: Theory and Evidence. Journal of Economic Perspectives
18, 25-46.
Fama, E.F. and K.R. French (1996): Multi-factor explanations of
asset pricing anomalies. Journal of Finance 51, 55-84.
Kocherlakota, N. (1996): The equity premium: its still a puzzle.
Journal of Economic Literature 34, 42-71.
Functioning of Financial Markets and Market Microstructure:
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 3.1-3.2-3.4
L. Bauwens and N. Hautsch, Modelling Financial High Frequency
Data Using Point Processes, in Handbook of Financial Time Series, 2009.
Y. Ait-Sahalia and P. A. Mykland, Estimating Volatility in the
Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations, in Handbook of Financial Time
Series, 2009.
N. Hautsch, The econometrics of financial high frequency data,
Springer, 2011.
Univariate Volatility Modelling
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 4.
T.G. Andersen, T. Bollerslev, and F. X. Diebold, Parametric and
Nonparametric Volatility Measurement, Handbook of Financial
Econometrics, p. 67-137
Terasvirta, T .(2009): An Introduction to Univariate GARCH
Models, Handbook of Financial Time Series-pages 17-39.
Renault, E. (2009): Moment-Based Estimation of Stochastic Volatility Models, Handbook of Financial Time Series pages 269-307
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 GARCH + Jumps model

JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 4.5.
Chan W. H. and Maheu J.M. (2002): Conditional jump dynamics
in stock market returns, Journal of Business & Economic Statistics; 20,3.
Maheu J.M. and McCurdy T.H. (2004): News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns,
The Journal of Finance, 59, pp. 755-793.
Multivariate Volatility Modelling:Chan and
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 6.1
Silvennoinen A and Terasvirta, T .(2009): Multivariate GARCH
Models, Handbook of Financial Time Series pages 201-226
O.E. Barndorff-Nielsen and N. Shepard (2004). Econometric Analysis of Realized Covariation: High Frequency Based Covariance,
Regression, and Correlation in Financial Economics, Econometrica, pages 885-925, 05.
Value-at-Risk and Expected Shortfall:
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 8.
Christoffersen, P.(2009): Value-at-Risk Models, Handbook of Financial Time Series- pages 753-766.
Portfolio Allocation:
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapter 9.
N. Hautsch, L. M. Kyj and P. Malec (2014), Do High-Frequency
Data Improve High-Dimensional Portfolio Allocation? Journal of
Applied Econometrics.
P. Brandimarte, Numerical Methods in Finance and Economics:
A MATLAB-Based Introduction. Chapter 2.4. Pages 65-83.
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 Option pricing
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapters 10 and 12.1-12.2
P. Brandimarte, Numerical Methods in Finance and Economics:
A MATLAB-Based Introduction. Chapters 2.6-2.7. Pages 102123. Chapter 8, pages 429-483
Dynamic models for the yield curve
Diebold, F. X. And Li, C.,(2006): Forecasting the term
structure of government bond yields, Journal of Econometrics 130, 337-364.
Nelson, C.R., Siegel, A.F., (1987): Parsimonious modelling of
yield curve. Journal of Business 60, 473-489.