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Analysis of Financial Time Series, 3rd Edition Paperback – 2010
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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.
As for the book, I'm through Chapter Three and it is otherwise readable and understandable. The author presents the material well, but I've already had one course on time series analysis.