Ruey Tsay's "Analysis of Financial Time Series" is an excellent resource,
along with the associated R package FinTS (
http://lib.stat.cmu.edu/R/CRAN/web/packages/FinTS/).  You can also find the
courses that Tsay teaches at U. Chicago on his homepage, such as this recent
course: http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2009/.
 He includes lecture notes and R scripts for each lecture.
Eric Zivot's book "Modeling Financial Time Series with S-Plus" doesn't
contain R code (explicitly), but is also very useful. (
http://faculty.washington.edu/ezivot/)
Lastly, regarding R usage, check out the available vignettes for the time
series packages in R, such as this one for xts:
http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf.  The zoo
package has several: http://cran.r-project.org/web/packages/zoo/.

Regarding videos, I'm not aware of any good introductory lectures.  This
isn't related to R and is more advanced, but the NBER had a series of
lectures last year: "Whats New in Econometrics - Time Series" (
http://www.nber.org/minicourse_2008.html).


On Sun, Aug 23, 2009 at 1:10 PM, Luna Moon <lunamoonmoon@gmail.com> wrote:

> Hi all,
>
> I am looking for study resources for (financial) time series? Hopefully I
> could find video lectures then it will reduce the learning curve.
>
> Thanks a lot!
>
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