Cox D.R., Hinkley D.V., Barndorff-Nielsen O.E.(eds.) Time Series Models: In econometrics, finance and other fields

5th Edition. — Wiley, 2015. — 712 p. — ISBN: 978-1-118-67502-1. Praise for the Fourth Edition "The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." - Mathematical Reviews Bridging classical models and modern...

Princeton University Press, 1994. — 815 p. Much of economics is concerned with modeling dynamics. There has been an explosion of research in this area in the last decade, as "time series econometrics" has practically come to be synonymous with "empirical macroeconomics." Several texts provide good coverage of the advances in the economic analysis of dynamic systems, while...

Springer, 2013. – 325 p. – 2nd ed. – ISBN: 3642334350, 9783642334368 This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary....

Wiley, 2008. – 1033 p. – ISBN: 047017921X, 9780470179215 If you’re seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications—including the use of embedded functions and algorithms. This reliable resource will equip you...

New York: Springer, 2016. — 421 p. This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations...

Springer, 2013. — 317 p. — ISBN: 978-3-642-31742-2 Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of...