Time series analysis reading list

Posted: April 9, 2010 in Uncategorized

Introduction to mid-level time series analysis reading list.  Enjoy!
  1. “Market Models: A Guide to Financial Data Analysis” by Alexander – decent read with some cool applications.
  2. “Time Series Analysis” by Hamilton – must have for reference…stellar book.
  3. “Analysis of Financial Time Series Analysis” by Tsay – Good book for an introduction.
  4. “New Introduction to Multiple Time Series Analysis by” Lutkepohl – decent read.
  5. “Modelling Financial Time Series” by Taylor
  6. “Non-Linear Time Series Analysis” by Kantz
  7. “Likelihood-Based Inference in Cointegrated Vector Autoregressive Models” by Johansen –  I would consider this a must have reference for the library as well.

Market Models: A Guide to Financial Data Analysis by AlexanderTime Series Analysis by HamiltonAnalysis of Financial Time Series Analysis by TsayNew Introduction to Multiple Time Series Analysis by LutkepohlModelling Financial Time Series by TaylorNon-Linear Time Series Analysis by KantzLikelihood-Based Inference in Cointegrated Vector Autoregressive Models by Johansen

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s