Time Series books

noetsi

Fortran must die
#1
I have a decent background in univariate time series. Now I am trying to learn multivariate approaches. Does anyone have a suggestion on books to introduce one to multivariate approaches such as vector autoregressive and vector error correction models?
 
#2
The following book contains concise and efficient summary of VAR but nothing too detailed. In general, the book is a useful complement to a typical time series book since it discusses regimes-switching models, Bayesian methods for stochastic processes, etc.

Lai & Xing (2008). Statistical Models and Methods for Financial Markets.
 
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noetsi

Fortran must die
#4
Thanks staassis. I doubt we will get many replies. Aside from yourself the only poster I know who is interested in time series is vinux and I have not seen him in a long time.