11.7 Recommended Literature

Four current Textbooks in the area of empirical financial market analysis are Mills (1993), Gouriéroux (1997), Campbell et al. (1997) and Gouriéroux and Jasiak (2002). The focus of Gouriéroux and Mills is more towards the econometric/time series analysis applications (which will also be followed in this book), whereas Campbell, Lo and MacKinlay discuss many economic applications that do not always end with statistical or econometric models. As an introduction and yet a comprehensive book on time series analysis Schlittgen and Streitberg (1995) is recommended. The same can be found with Copeland and Weston (1992), an introductory book on finance theory.

The experiment of the expectation hypotheses comes from Forsythe et al. (1982). The definition of expectations and efficient markets is based on Jarrow (1992). The CAPM is developed in Sharpe (1964), Lintner (1965) and Mossin (1966). The discussion on the interest rate parity follows Jarchow and Rühmann (1994)[pp.236] and that of the term structure models of Cox-Ingersoll-Ross follow Ingersoll (1987). The standard option pricing model originated in Black and Scholes (1973). The market price of risk is discussed in Hull (2000),

A good overview of unit root tests is given in Hassler (1994). The ADF test is taken from Dickey and Fuller (1979).