[R-sig-finance] RE: [R] help: reference & book

[KAHRA HANNU]

A brief look at my library reveals that I have at least the following books on financial econometrics:

Walter Enders: Applied Econometric Time Series (contains RATS code)
John Y. Campbell - Andrew W. Lo - Craig MacKinlay: The Econometrics of Financial Markets
James D. Hamilton: Time Series Analysis
Ruey Tsay: Analysis of Financial Time Series (contains RATS code)
Terence C. Mills: The Econometric Modelling of Financial Time Series
Keith Cuthbertson - Dirk Nitzsche: Quantitative Financial Economics - Stocks, Bonds and Foreign Exchange
Eric Zivot - Jiahui Wang: Modeling Financial Time Series with S-Plus
Christian Gourieroux - Joann Jasiak: Financial Econometrics - Problems, Models, and Methods
Carol Alexander: Market Models - A Guide to Financial Data Analysis
 
These books are quite general. Furthermore, there are books on special topics: GARCH, stochastic volatility, Levy processes, high-frequency data, etc.

Hannu Kahra 
Progetti Speciali 
Monte Paschi Asset Management SGR S.p.A. 
Via San Vittore, 37
IT-20123 Milano, Italia 

Tel.: +39 02 43828 754 
Mobile: +39 333 876 1558 
Fax: +39 02 43828 247 
E-mail: hannu.kahra at mpsgr.it 
Web: www.mpsam.it 



-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Weiwei Shi
Sent: Wednesday, June 01, 2005 5:51 PM
To: R-sig-finance at stat.math.ethz.ch
Cc: R-help at stat.math.ethz.ch
Subject: [R] help: reference & book


Hi, listers:
I am really in need for some good books on financial market analysis,
better with R. Can anyone help?
Thanks.

weiwei

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