Analysis of Financial Time Series
Ruey S. Tsay
I am new to TS analysis and I bought this book because I am always interested in how statistics works in finance. I can say this is probably the best book for self-study. The writting is clear and the examples are both interesting and easy to follow.
Interestingly the other day I asked my friend, who has a Ph.D. in statistics, to recommend a book in time series, and he immediately produced this book from his bag and said this is a very good book.
