Recommended Books for Learning Time Series Analysis
Summary
The document collects book recommendations for readers who want to understand time series methods, including cointegration tests such as Engle–Granger and Johansen procedures. Suggested texts range from general and theoretical treatments to accessible introductions and books focused on financial data. Named recommendations include works by Hamilton, Tsay, McCleary and Hay, Cryer, Brockwell and Davis, and Zivot and Wang.
The answers imply several possible study paths: begin with an introductory text, use a financial time series book for market applications, or choose a more mathematical treatment for deeper theory. Some recommendations highlight coverage of topics such as ARIMA models, nonlinear estimation, and practical software use. The document offers personal reading suggestions rather than comparing the books systematically or specifying prerequisites, editions, or a step-by-step curriculum. It does not teach the tests directly or assess which text best suits a particular learner.
Key ideas
- The recommendations include both general time series texts and books focused on financial data.
- Hamilton and Brockwell and Davis are suggested for substantial theoretical coverage.
- Tsay and Zivot and Wang are recommended for financial time series study.
- Other suggested books emphasize accessible introductions, ARIMA models, nonlinear estimation, or R use.
- The list reflects individual recommendations rather than a ranked or evaluated curriculum.
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Full text
# Book recommendation for time series analysis # Book recommendation for time series analysis I have been trying to wrap my head around Engel-Granger test and jcitest etc. I have failed thus far. If possible can someone guide me about which books to start with and possibly reach to understanding these types of tests and modelling based on the same? Please one book (or sequence of books) to study per answer. ## Answer by skapadia (score 9) https://quant.stackexchange.com/a/14307 I would suggest Time Series Analysis by James Douglas Hamilton ## Answer by user84893 (score 4) https://quant.stackexchange.com/a/42443 If you want to study time series particularly related to financial data, I would recommend Analysis of Financial Time Series by Ruey S. Tsay. ## Answer by Theodore (score 3) https://quant.stackexchange.com/a/42427 On the community wiki answer for What are the quantitative finance books we should all have in our shelves?, Time Series Analysis by James Hamilton is mentioned. I recommend reading Applied Time Series for the Social Sciences, by Richard McClearly and Richard Hay. It is a great introduction to the field and goes into depth about various time series analysis concepts (e.g., ARIMA models, non-linear estimation methods, etc.) ## Answer by Trajan (score 2) https://quant.stackexchange.com/a/42422 A very clear text for this is "Time Series Analysis" by Cryer. It even has a focus on using R to do these sorts of things. ## Answer by Marco (score 0) https://quant.stackexchange.com/a/42505 A book with very strong theory (quite theoretical) is Brockwell, Davis. Time Series: Theory and Methods There is also an easier edition from the same authors: Introduction to Time Series and Forecasting ## Answer by Richard Hardy (score 0) https://quant.stackexchange.com/a/42554 Zivot & Wang "Modeling Financial Time Series with S-PLUS" (2006) is my favourite. The authors are able to present rather advanced material in an accessible manner. The good news is, the textbook is freely available from the author's website (follow the link above). A new book by Zivot "Modeling Financial Time Series with R" (2019?) will probably be my next favourite. I have been waiting for it since 2014, but it is taking a long time to get published...
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