Time Series Books

If I were to learn time-series from the beginning these are the books I would buy and the order that I would study them in. I would also utilize Duke's website as it is very well written and accurate. Most people will not need to go past the intermediate! Too many people get caught up in trying to read the most advanced books possible. Learning from a simple starting point ensures you have a better grasp of the ideas which allows you to apply them to new problems.
Introductory Econometrics: A Modern Approach
amzn.to/448GjLl
Statistical Analysis of Financial Data in R
amzn.to/3JIIexS
Analysis of Financial Time Series
amzn.to/44heWio
Time Series Analysis
amzn.to/43b0Ldd
All links are my Amazon affiliate links. The books will NOT cost you any more than if you found them on your own. Amazon just pays me a small amount as a reward for driving them traffic. Also, Springer books can often be purchased directly from them for cheaper. If you are at a university, Springer is often free online for digital copies.
Free Resources (including Duke's time-series):
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[@armanmuslimov5988]

Thank for reminding that you have a playlist on time-series for people like me who joint to your channel not that long ago. Thanks for guiding us a little bit deeper into the topic!

[@devez7]

Wooldridge’s book looks great. Thanks for sharing.

[@benjamintreitz1647]

Completely agree with your choice

[@prod.kashkari3075]

What is your opinion on Bayesian approaches to time series? I remember reading the paper on facebooks Prophet package, essentially they fit a Stan Bayesian hierarchical model and make posterior draws to estimate the seasonality component, trend component, and holiday/weekday component of a given time series. What do you think about using Bayesian approaches, and you think it’s practical to leverage prior information like this in a forecasting model?

[@gianlucalepiscopia3123]

Thanks for this Dimitri. Would you do a video about distribution fitting? it seems an underrated topic in stat lessons as it seems its all about basic ones gaussian, uniform.... thanks

[@Hmmmmmmm02]

hey dimitri, hope you’re doing good! i study electrical engineering at a russel group uni in the UK, i’m in my 3rd year and my final year project is on using time series and machine learning to analyse and forecast financial data. i have decent experience in pure maths i’d say, and basic knowledge of probability/statistics. do you think the econometrics book/statistical analysis books are good for a beginner in time series like me? i’ve tried reading “introduction to time series and forecasting” by rockwell/davis and it’s a decent book. are there any other beginner texts that you recommend that are sort of easy-ish on the eye, or give a gentle introduction to time series so i can start building my own models in Python? thanks a lot, and love your content!

[@marinecobra]

Great video

[@DimitriBianco]

Thanks!

[@danielcsuja3362]

Hi, what's your opinion about the European quant degrees, e.g. ETH/UZH, Sorbonne, Saclay, TUM, EPFL etc?

[@daanialahmad1759]

Thank you Dimitri for such a wonderful video. Is S plus used in industry? There are many codes in S plus in Ruey Tsays Analysis of financial time series

[@DimitriBianco]

S Plus was renamed R. Much of the code still works in modern R.

[@daanialahmad1759]

@@DimitriBianco Thank you so much Dimitri

[@shivang15]

Can you play and talk about the piano in the background?

[@DimitriBianco]

The piano is my wife's who has been playing for about 25 years. I don't play the piano but I'm trying to convince my wife to play a piece for a video I'm working on.

[@iiToOHarD]

Hey man I recently discovered your channel: I am currently studying for a resit in time series (I already passed but didn't bring a calculator which hurt my grade significantly) and I saw your video on actuary vs quant, my current master is Quantitative Finance and Actuarial Science by Tilburg University (Netherlands), what do you think about these types of masters that focus on both? I saw that it ranks as 25th in the world in finance category (Shanghai ranking) but it is just a one year master and I am wondering what your thoughts are on such a curriculum? Courses are: time series, data science methods, asset liability management, one course on playing consultant and focussing on slides and presenting, 18 ects on a master thesis, dynamic real investment, empirical finance, and risk and regulation, risk and valuation management (the last 3 I have to choose 2/3).

[@iiToOHarD]

Also dont pay attention to my username I made this when I was 12 :')

[@johncoughlin2013]

Great video! I’m a Finance Major and comp sci minor at BC. While comp sci is a great program at BC, I wonder if a math minor would be more beneficial since python and other programming languages can be learned online. From your standpoint, would a math minor “look better” when applying for jobs or business programs upon graduation?

[@alan713812]

What is BC? British Columbia ?

[@santiago-9074]

what do you think about signal processing theory, fourier analysis and other telecommunication engineering methods for time series?

[@DimitriBianco]

They have their place however for the work I do, I find Box Jenkins to have a better interpretation and prediction.

[@biglilrichard]

Do you think there is a difference between the topics of "Statistical Analysis of Financial Data" vs. books in Financial Econometrics? Given that econometrics is broadly defined as application of statistical methods to economics problems, and financial econometrics is statistical methods applied to finance usually with time series data, isn't statistics for finance just financial econometrics?

[@DimitriBianco]

You are correct that they are generally the same thing. The econometric textbooks tend to focus on macro economic variables or consumption problems whereas the statistics for finance tend to focus on pricing of assets such as derivatives, commodities, or fixed income. A good example of this comparison is Rene Carmona's text on statistical finance versus Wooldridge's book on econometrics.

[@gauravmalik3911]

Is there any good book with python?

[@hubbiemid6209]

hey dimitri, was looking at the free resources on your website, the resume template doesn't seem take me anywhere or initiate a download, is it broken?

[@DimitriBianco]

If you use the contact page I can send it to you. I was playing around with adding that document a few months ago but couldn't get it to work properly.

[@hubbiemid6209]

@@DimitriBianco awesome, just reached out!

[@ctolcode]

I'm guessing you also live in NYC, a lot of NYC quants have recently gotten into weather forecasting

[@DimitriBianco]

No, I'm in Dallas. Weather forecasting is just a common problem that is assigned during masters programs.

[@ctolcode]

@@DimitriBianco Really? Might be why weather forecasting is a lot better around the world than in Denmark. I'd also like to ask you if you have any experts on time series, that you could recommend following, if one is curious about the newest developments in timeseries?

[@Adultschooler]

How much money has this guy made? Idc how much he knows until i know how much he’s made.

[@devez7]

Have you read the book: Structured Credit Products: Credit Derivatives and Synthetic Securitisation? If so, would you recommend it?

[@DimitriBianco]

I have not read that book before.

[@devez7]

@@DimitriBianco thanks.