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 Suggestions for Time Series Books
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tarragon
Advanced Member

Philippines
356 Posts

Posted - 10/09/2007 :  11:52:25  Show Profile
To whom it may concern:

I am currently looking for books about time series (centered either on finance or on pure mathematics). I have heard of Time Series Analysis by James Hamilton and Time series : Theory and Methods by Richard Davis but I don't know if they are good books. Are there any books that provide good explanation/discussion of the topics?

Hoping for your consideration.
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royhaas
Moderator

USA
3059 Posts

Posted - 10/09/2007 :  16:57:25  Show Profile
Try a search for "Box and Jenkins".
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tarragon
Advanced Member

Philippines
356 Posts

Posted - 10/11/2007 :  02:42:07  Show Profile
Thank you very much.

The course "Time Series in Finance" is offered in math department, so I would expect that the treatment is more theoretical than applied.
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