Time Series Analysis

<body topmargin="0" leftmargin="0" stylesrc="../_private/template_title.htm" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" width="100%" cellpadding="10" style="border-collapse: collapse" bordercolor="#111111" id="table2"> <tr> <td width="100%" bgcolor="#FFFFCC"> <p class="header_black">Mathematics: <span class="header_gold">Time Series Analysis</span></td> </tr> </table> <div align="left"> <table border="0" cellspacing="4" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table3"> <tr> <td width="740" bgcolor="#FFFFFF"> <div align="center"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table4"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table5"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap266"> <area href="../titles/franses_p_(1998).htm" shape="rect" coords="0, 0, 131, 199"> </map> <img src="../images/book_franses.gif" alt="book_franses.gif (2356 bytes)" border="0" usemap="#FPMap266" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table6"> <tr> <td width="100%"> <p class="book_title">Time Series Models<br> <span class="book_title_sub">for Business and Economic Forecasting</span></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table7"> <tr> <td width="100%" colspan="3"> <p class="book_details">Philip Hans Franses</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap249"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap249" width="90" height="16"></td> <td width="50" class="book_details_tags"> <img border="0" src="../images/tech_3.gif" usemap="#FPMap181" width="90" height="16"><map name="FPMap181"><area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"></map></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap267"> <area target="_self" href="../titles/franses_p_(1998).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap267" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><b>Time Series Models</b> by Franses is an accessible, well organized and clearly written book. It will teach you the basics—terminology, statistical methods and mathematical ways of thinking—that you will need to know before proceeding to more advanced books ... <a href="../titles/franses_p_(1998).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap294"> <area href="../titles/enders_w_(1995).htm" shape="rect" coords="0, 0, 133, 199"> </map> <img border="0" src="../images/book_enders_w_(2003).gif" usemap="#FPMap294" width="134" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table9"> <tr> <td width="100%"> <p class="book_title">Applied Econometric Time Series</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="100%" colspan="3"> <p class="book_details">Walter Enders</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap295"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/star_5.gif" usemap="#FPMap295" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap296"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/tech_3.gif" usemap="#FPMap296" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap297"> <area target="_self" href="../titles/enders_w_(1995).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap297" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Enders offers a practical, hands-on introduction to time series analysis for readers with modest mathematical skills. If you have taken undergraduate courses in linear algebra, probability, and statistics, you can read this book. What is more, the detailed examples and exercises will soon have you working on fairly sophisticated time series problems</strong> ... <a href="../titles/enders_w_(1995).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table11"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap184"> <area href="../titles/brockwell_and_davis_2002.htm" shape="rect" coords="0, 0, 170, 199"> </map> <img border="0" src="../images/book_brockwell_and_davis_2002.gif" usemap="#FPMap184" width="171" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table12"> <tr> <td width="100%"> <p class="book_title"><font size="3">Introduction to </font><br> Time Series and Forecasting</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table13"> <tr> <td width="100%" colspan="3"> <p class="book_details">P. Brockwell and R. Davis</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap182"> <area target="_self" coords="2, 1, 89, 15" shape="rect" href="http://www.riskbook.com/main/ratings.htm"> </map><img border="0" src="../images/star_6.gif" usemap="#FPMap182" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap183"> <area target="_self" href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="0, 1, 89, 15"> </map><img border="0" src="../images/tech_4.gif" usemap="#FPMap183" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap298"> <area target="_self" href="../titles/brockwell_and_davis_2002.htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap298" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Time series analysis is a vast and somewhat intimidating field for the novice. For mathematically capable readers, I can't think of a more effective introduction than this practical text by Brockwell and Davis. Without being cook-bookish, the authors downplay theory and emphasize the how and why of analyzing real data. A key feature of the book is an accompanying disk with time series analysis software and plenty of data sets</strong> ... <a href="../titles/brockwell_and_davis_2002.htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table14"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap272"> <area href="../titles/hamilton_j_(1994).htm" shape="rect" coords="0, 0, 132, 199"> </map> <img border="0" src="../images/book_hamilton.gif" usemap="#FPMap272" width="133" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table15"> <tr> <td width="100%"> <p class="book_title">Time Series Analysis</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table16"> <tr> <td width="100%" colspan="3"> <p class="book_details">James D. Hamilton</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap273"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap273" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap274"> <area href="../main/ratings.htm" shape="rect" coords="0, 1, 89, 15"> </map><img border="0" src="../images/tech_4.gif" usemap="#FPMap274" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap275"> <area target="_self" href="../titles/hamilton_j_(1994).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap275" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Written by a leading researcher in the field, this is the authoritative text and reference on time series analysis. Few people read this book from cover to cover. There is so much depth and detail, it easy to get bogged down. The reading is not easy, but it is very worthwhile. Hamilton renders great insights as well as a fair amount of intuition for those willing to make the effort ... <a href="../titles/hamilton_j_(1994).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table17"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap242"> <area href="../titles/mills_terence_1999.htm" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_mills_t_(1999).gif" usemap="#FPMap242" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table18"> <tr> <td width="100%"> <p class="book_title">The Econometric Modelling of Financial Time Series</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table19"> <tr> <td width="100%" colspan="3"> <p class="book_details">Terence Mills</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap241"> <area target="_self" href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap241" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap299"> <area target="_self" href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="0, 1, 89, 15"> </map><img border="0" src="../images/tech_4.gif" usemap="#FPMap299" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap300"> <area target="_self" href="../titles/mills_terence_1999.htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap300" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Now in its second edition, this is an excellent intermediate-level text on time series analysis for financial markets. Targeted to academics or theoretically inclined practitioners, the book offers a scholarly discussion of topics relevant to financial markets</strong> ... <a href="../titles/mills_terence_1999.htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table20"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap32"> <area href="../titles/gourieroux_and_monfort_(1997).htm" shape="rect" coords="0, 0, 128, 199"> </map> <img border="0" src="../images/book_gourieroux_and_monford.gif" usemap="#FPMap32" width="129" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table21"> <tr> <td width="100%"> <p class="book_title">Time Series and Dynamic Models</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table22"> <tr> <td width="100%" colspan="3"> <p class="book_details">Christian Gourieroux and Alain Monford</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap30"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_6.gif" usemap="#FPMap30" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap31"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_5.gif" usemap="#FPMap31" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap288"> <area target="_self" href="../titles/gourieroux_and_monfort_(1997).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap288" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Christian Gourieroux is a leading researcher in time series analysis. This text, which he penned with Alain Monfort, was translated from the original French by Giampiero Gallo. In my opinion, it is the best general text on time series analysis available. It is a masterpiece</strong> ... <a href="../titles/gourieroux_and_monfort_(1997).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table23"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap3"> <area href="../titles/brockwell_and_davis_(1991).htm" shape="rect" coords="0, 0, 129, 199"> </map> <img border="0" src="../images/book_brockwell_and_davis_(1991).gif" usemap="#FPMap3" width="130" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table24"> <tr> <td width="100%"> <p class="book_title">Time Series<br> <font size="3">Theory and Methods</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table25"> <tr> <td width="100%" colspan="3"> <p class="book_details">Peter J. Brockwell and Richard A. Davis</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_6.gif" usemap="#FPMap2" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap301"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_5.gif" usemap="#FPMap301" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap293"> <area target="_self" href="../titles/brockwell_and_davis_(1991).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap293" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong>Time Series</strong><strong style="font-weight: 400"> by Brockwell and Davis is an excellent advanced text on time series analysis that will appeal to researchers and Ph.D. students. It takes an exhaustive, in-depth look at primarily MA, AR and ARMA models. Accordingly, it doesn't touch on many areas of current research. Instead, it gives the reader a firm grounding in the essential "linear" models that </strong>... <a href="../titles/brockwell_and_davis_(1991).htm">Read more</a></td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table26"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> </td> <td bgcolor="#FFFFFF">  </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table27"> <tr> <td width="50%" bgcolor="#FFFFCC" align="left" valign="top"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="50%" bgcolor="#CCCCFF" align="left" valign="top"> <p class="body" style="margin-bottom: 6; 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