Analysis of Financial Time Series by
Call Number: 332.01519 T877a
An introductory book provides theoretical concepts on time series analysis with plenty of intuitive insight of how exactly these models work. It covers a comprehensive and systematic account of financial econometric models: classic one-factor linear models (AR, MA, ARMA, Unit-root, ARCH, VAR, etc), and also multi-factor models and non-linear models. New edition adds chapters for PCA and MCMC too.