Thread View: sci.math.stat
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Started by txwizard
Mon, 12 Oct 1992 16:28
book recommendation
Author: txwizard
Date: Mon, 12 Oct 1992 16:28
Date: Mon, 12 Oct 1992 16:28
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hi! i would greatly appreciate your recommendation on an introductory time series and forecasting book. i had some introduction to the above mentioned subjects in econometrics but need more to pursue my interest in financial analysis. i thank you in advance for the info. mike kim txwiard@ccwf.cc.utexas.edu
Re: book recommendation
Author: ciar04
Date: Wed, 14 Oct 1992 20:44
Date: Wed, 14 Oct 1992 20:44
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In article <81531@ut-emx.uucp>, txwizard@ccwf.cc.utexas.edu (txwizard) writes: > hi! i would greatly appreciate your recommendation on an introductory > time series and forecasting book. i had some introduction to the > above mentioned subjects in econometrics but need more to pursue > my interest in financial analysis. > > i thank you in advance for the info. > > mike kim > txwiard@ccwf.cc.utexas.edu S. Taylor's Modelling Financial Time Series is an excellent text on looking at financial time series. Though the book is a bit dated (1986), it contains your basic ARMA type models, plus the ARCH and GARCH (called ARMACH by Taylor) models. #----------------------------------#-------------------------------------------# | W.H.Watt # JANET: | | Dept. of Accounting & Finance # w.h.watt@uk.ac.strath.vaxa | | University of Strathclyde # Rest of the World: | | Glasgow # w.h.watt@vaxa.strath.ac.uk | | United Kingdom # | #----------------------------------#-------------------------------------------#
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