Introduction to modern time series analysis, by Kirchgassner and Wolters, 2007.

Today I just read quikly through the book “Introduction to modern time series analysis” by Gebhard Kirchgassner and Jurgen Wolters, Springer, 2007 (which is available in electronic form, if you know how to find it).

I found the book excellent. It’s very well written, not too thick (less than 300 pages), and explains clearly the concepts of time series models in finance and economy via historical remarks and real-world examples (GDP, interest rate, forex, etc.). Besides the usual ARIMA and GARCH stuff, the book also contains discussions about: causality, vector models, cointegration, stochastic trends, and how to avoid errors (type I and type II) in analyzing  time series. I’ll ask my students to make seminars on the chapters about causality, vector models, and cointegration of this book :-)

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