Author of this section: Dr. Christof Luchsinger

Brief introductions are Chatfield, Mills and Diggle. Diggle has applications and examples from biology, Mills from economics, Chatfield is more general.

• The Analysis of Time Series: An Introduction by C. Chatfield, Chapman and Hall London, 1996
• Time Series, A Biostatistical Introduction by P. Diggle, Clarendon Press Oxford, 1990
• Time Series Techniques for Economists by Terence Mills, Paperback Reprint edition (June 1991), Cambridge Univ Press.

Schlittgen/Streitberg is substantial and easy to read. Although suggested for scientists in biology, medicine and engineering, deaper understanding of mathematics can be useful for Schlittgen/Streitberg.

• Zeitreihenanalyse by R. Schlittgen and B. Streitberg, 9. Auflage, R. Oldenbourg Verlag München Wien, 2001.

Box/Jenkins is a classic. For Brockwell/Davis I profound mathematics is required (Hilbert-Spaces). There is also a simpler version of Brockwell/Davis I for the practicioner: Brockwell/Davis II. Priestley stresses on spectral analysis. Hamilton presents "State of the Art". Especially useful in economics.

• Time Series forecasting and control by G. Box and G. Jenkins, 1994
• Time Series: Theory and Methods by P.J. Brockwell and R.A. Davis (Brockwell/Davis I), Springer Verlag New York, 1996
• Introduction to Time Series and Forecasting by P.J. Brockwell and R.A. Davis (Brockwell/Davis II), Springer Verlag, 2003
• Spectral Analysis and Time Series, Vol. 1 and 2 by M. Priestley, Academic Press London, 1994
• Time Series Analysis von James D. Hamilton, Princeton University Press, 1994

Tong is a classic on non-linear time series.

• Non-Linear Time Series, A dynamical System Approach" by H. Tong, Claerndon Press Oxford, 1990

For Applications in the Finance world we suggest Taylor and Gourieroux. Taylor stresses applications in the finance world; we suggest you read Chatfield as an introduction before passing to Taylor. For ARCH, GARCH we suggest Gourieroux.

• Modelling Financial Time Series by Stephen J. Taylor, John Wiley, Chichester, 1986
• ARCH Models and Financial Applications by C. Gourieroux, Springer Verlag New York, 1997

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