4.11 Further Reading – Statistics and Time Series Analysis

4.11  Further Reading – Statistics and Time Series Analysis

Franses (1998) is an accessible introduction to time series analysis. Brockwell and Davis (2010) is more advanced. Hamilton (1994) is a standard reference.

Hartman and Sedlak (2013) apply multivariate GARCH models to exchange rates for use in value-at-risk measures.