Time series / séries temporelles: references

References for my course on time series this year (Master 2 professionel).

En français:
– Régis Bourbonnais et Michel Terraza: “Analyse des séries temporelles en économie”, ed PUF
– Christian Francq et Jean-Michel Zakoian: “Modèles GARCH, structure, inférence statistique et applications financières”, ed Economica
– Christian Gouriéroux et Alain Monfort: “Séries temporelles et modèles dynamiques”, ed Economica
Et bien le prochain livre de Yves Aragon!!!

In English:
– Brockwell and Davis: “Introduction to time series and forecasting”, ed Springer
– Brockwell and Davis: “Time series: theory and method”, ed Springer
– James Hamilton: “Time series analysis”, ed Princeton

Thanks to Anne Vanhems for the above list.

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