Analysis of financial time series : financial econometrics / Ruey S. Tsay. - 2nd ed.. - Hoboken (N.J.) : Wiley-Interscience, 2005

Econometric analysis of cross section and panel data / Jeffrey M. Wooldridge. - 2. ed.. - Cambridge (Mass.) : MIT Press, c2010

Econometric analysis of panel data / Badi H. Baltagi. - 5th rev. ed.. - Chichester [etc.] : Wiley, 2013

The econometrics of financial markets / John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay. - Princeton (N.J.) : Princeton University Press, c1997

Financial econometrics : problems, models, and methods / Christian Gourieroux, Joann Jasiak. - Princeton ; Oxford : Princeton University press, c2001

Financial econometrics using stata / Simona Boffelli, Giovanni Urga. - College Station : Stata press, 2016

A guide to modern econometrics / Marno Verbeek. - 4th ed.. - Chichester [etc.] : Wiley, c2012

Microeconometrics : methods and applications / A. Colin Cameron, Pravin K. Trivedi. - Cambridge : Cambridge University press, 2005