[R-SIG-Finance] books?

[Joe W. Byers]

Max Nevill wrote:
>  
> 
> Hi Everyone!
> 
> I do some forecasts for my job and recently have started to realize that
> I may be able to make better forecasts if I look at multivariate
> analysis rather than fit several univariate models. Unfortunately in
> undergrad I only took one course in univarate analysis.
> 
> I was wondering what some good books are on the subject of multivariate
> time series analysis? Especially any that use R over other languages.
> 
> Thanks,
> 
> -Max
> 
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> 
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My base references for time series are
Statistical Analysis of Financial Data in S-Plus by Carmona
Time Series Analysis by Hamilton
and
Applied Econometric Time Series by Enders

I also use several econometric texts
Judge, etal's series
	Theory and Practice of Econometrics,
	Introduction to the ditto, and
	Learning and Practicing Econometrics
Greene's Econometric Analysis.

A side note, my wife and I are building a bibliography of our personal 
libraries of books and papers on www.financialseal.com under analytics 
and research.   It is in the infancy stages, but we are trying to update 
it regularly.  These and other financial and statistical references will 
be there.  The connection is slow, so patience is required.

Joe