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 ...
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Introduction to
Time Series and Forecasting
P. Brockwell and R. Davis
2002
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 ...
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The Econometric Modelling of Financial Time Series
Terence Mills
1999
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 ...
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Time Series Models for Business and Economic Forecasting
Philip Hans Franses
1998
Time Series Models 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 ...
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Time Series and Dynamic Models
Christian Gourieroux and Alain Monford
1997
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 ...
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Time Series Analysis
James D. Hamilton
1994
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 ... Read more
Time Series Models
Andrew C. Harvey
1993
For anyone interested in time series analysis, this should be the second book
you read following an elementary introduction such as Franses (1998). Harvey is a pioneer in the field who is well-known for his work applying the
Kalman filter to time series modeling ...
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Time Series
Theory and Methods
Peter J. Brockwell and Richard A. Davis
1991
Time Series
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 ...
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Walter Enders
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