Operator Methods for Continuous-Time Markov Processes,Yacine Ait-Sahalia, L.P. Hansen and J. Scheinkman (August 2004).

Parametric and Nonparametric Volatility Measurement, Torben G. Andersen, T. Bollerslev and F. X. Diebold (July 2002).

Nonstationary Continuous-Time Processes, Federico M. Bandi and P.C.B. Phillips (May 2002).

Estimating Functions for Discretely Sampled Diffusion-Type Models, Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).

Heterogeneity and Portfolio Choice: Theory and Evidence, Stephanie Curcuru, J. Heaton, D. Lucas and D. Moore (September 2004).

Analysis of High Frequency Data, Robert F. Engle and J.R. Russell (October 2002).

Simulated Score Methods and Indirect Inference for Continuous-time Models, A. Ronald Gallant and G. Tauchen (March 2002).

The Econometrics of Option Pricing, Rene Garcia, E. Ghysels and E. Renault (August 2003).

Value at Risk, Christian Gourieroux and J. Jasiak (August 2001).

Inference for Stochastic Processes, Jean Jacod.

The Analysis of the Cross Section of Security Returns, Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).

MCMC Methods for Continuous-Time Financial Econometrics, Michael Johannes and N. Polson (December 2003).

Measuring and Modeling Variation in the Risk-Return Tradeoff, Martin Lettau and S. C. Ludvigson (December 2003).

Stock Market Trading Volume, Andrew W. Lo and J. Wang (September 2001).

Option Pricing Bounds and Statistical Uncertainty, Per A. Mykland (September 2003).

Exotic Options and Levy Processes, Laurent Nguyen-Ngoc and M. Yor (January 2002).

Affine Term Structure Models, Monika Piazzesi (March 2004).

Forecasting with ARMA Models, D.S.G. Pollok, A short course of time-series analysis.

ARMA Modeling in practice, Joint Research Center, Europian Commission.

Forecasting with Box-Jenkins Models, Dedman Loaner Pool, SMU, January 2005

Forecasting Italian Inflation with Large Datasets and Many Models, Carlo Favero, Ottavio Ricchi and Cristian Tegami, Working Paper n. 269, September 2004

Instability and non-linearity in the EMU, Massimiliano Marcellino, IEP-Università Bocconi, IGIER and CEPR, Working Paper n.211, March 2002

Forecasting Chilean Industrial Production and Sales with Automated Procedures, Rmulo Chumacero, Banco Central de Chile, Documentos de Trabajo , Central Bank of Chile, Working Papers, N 260, Mayo 2004.

Further Results on MSFE Encompassing, Massimiliano Marcellino, I.G.I.E.R, Università Bocconi and Europian University Institute, October 1998

Applications of Advanced Regression Analysis for Trading and Investment, CHRISTIAN L. DUNIS AND MARK WILLIAMS, Applied Quantitative Methods for Trading and Investment. Edited by C.L. Dunis, J. Laws and P. Naim, 2003 John Wiley & Sons, Ltd

Partial Autocorrelation Function (PACF), Hyuna Yang, hyuna@stat.wisc.edu

Properties of Macroeconomic Forecast Errors, DAVID I. HARVEY, PAUL NEWBOLD, Centre for International, Financial and Economics Research, Department of Economics, Loughborough University

An Exercise with its solution

Nonlinear Univariate Time Series, Seppo PynnÄonen, Department of Mathematics and Statistics, University of Vaasa, 2003.

Linear Multivariate Time Series, Seppo PynnÄonen, Department of Mathematics and Statistics, University of Vaasa, 2003.

Applied Econometrics using MATLAB, James P. LeSage, Department of Economics, University of Toledo, October 1999.

Prediction in ARMA Models with GARCH in Mean Effects, Menelaos Karanasos, University of York.

A Beginner’s Notes on Bayesian Econometrics, Pierre-Carl Michaud, CentER, Tilburg University, September 6, 2002.

Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of Technical Analysis, Salih N. Neftci, The Journal of Business, Vol. 64, Issue 4, October 1991.

Pattern Modelling in Time-Series Forecasting, Sameer Singh, Cybernetics and Systems-An International Journal, vol. 31, issue 1, 2000.