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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.

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  • $\begingroup$ You might get better feed back on stats.stackexchange.com $\endgroup$
    – ch-pub
    Commented Aug 5, 2014 at 22:04
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    $\begingroup$ Hi user3126171, welcome to quant.SE! Please read the faq on what is appropriate and how to ask questions. I've edited your question to improve it but it's of borderline quality. I will let the community decide what to do with it. $\endgroup$
    – Bob Jansen ♦
    Commented Aug 6, 2014 at 9:23
  • $\begingroup$ @BobJansen Thanks, I think it would be a question for anyone looking to start in Quantitative Finance with much background in the maths or currently attending school. :) $\endgroup$
    – user3126171
    Commented Aug 7, 2014 at 7:28

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I would suggest Time Series Analysis by James Douglas Hamilton

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If you want to study time series particularly related to financial data, I would recommend Analysis of Financial Time Series by Ruey S. Tsay.

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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.)

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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.

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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

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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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  • $\begingroup$ thanks for heads up. I've been waiting for that one also. $\endgroup$
    – mark leeds
    Commented Nov 8, 2018 at 16:26

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