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https://github.com/beliavsky/timeseriesanalysisbooks

List of books on time series analysis, with links to code where available
https://github.com/beliavsky/timeseriesanalysisbooks

cointegration econometrics finance financial-time-series garch hidden-markov-models multivariate-time-series nonlinear-time-series r r-packages state-space-models stochastic-volatility time-series-analysis

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List of books on time series analysis, with links to code where available

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# Time Series Analysis Books



Barnett, William A., David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim, and Allan Würtz (2006). [Nonlinear Econometric Modeling in Time Series](https://www.cambridge.org/us/universitypress/subjects/economics/econometrics-statistics-and-mathematical-economics/nonlinear-econometric-modeling-time-series-proceedings-eleventh-international-symposium-economic-theory). Cambridge University Press.



Beran, Jan, Yuanhua Feng, Sucharita Ghosh, and Rafal Kulik (2013). [Long-Memory Processes: Probabilistic Properties and Statistical Methods](https://link.springer.com/book/10.1007/978-3-642-35512-7). Springer.



Bosq, Denis (1998). [Nonparametric Statistics for Stochastic Processes: Estimation and Prediction](https://link.springer.com/book/10.1007/978-1-4612-1718-3). Springer.



Box, George E. P., Gwilym M. Jenkins, Gregory C. Reinsel, and Greta M. Ljung (2015). [Time Series Analysis: Forecasting and Control, 5th ed.](https://www.wiley.com/en-us/Time+Series+Analysis%3A+Forecasting+and+Control%2C+5th+Edition-p-9781118674918). Wiley



Brockwell, Peter J. and Richard A. Davis (1991). [Time Series: Theory and Methods, 2nd. ed.](https://link.springer.com/book/10.1007/978-1-4419-0320-4). Springer. ITSM2000 Windows software is available [here](https://extras.springer.com/?query=978-0-387-97429-3).



Brockwell, Peter J. and Richard A. Davis (2016). [Introduction to Time Series and Forecasting, 3rd. ed.](https://link.springer.com/book/10.1007/978-3-319-29854-2). Springer.



Casals, Jose, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, and A. Alexandre Trindade (2016). [State-Space Methods for Time Series Analysis

Theory, Applications and Software](https://www.routledge.com/State-Space-Methods-for-Time-Series-Analysis-Theory-Applications-and-Software/Casals-Garcia-Hiernaux-Jerez-Sotoca-Trindade/p/book/9781482219593). CRC Press. [E4](https://www.ucm.es/e-4/) is the associated Matlab toolbox.



Chatfield, Chris, and Haipeng Xing (2019). [The Analysis of Time Series: An Introduction with R](https://www.routledge.com/The-Analysis-of-Time-Series-An-Introduction-with-R/Chatfield-Xing/p/book/9781498795630). CRC Press. Code [here](https://www.ams.sunysb.edu/~xing/tsRbook/functions.html).



Commandeur, Jacques J.F. and Siem Jan Koopman (2007). [An Introduction to State Space Time Series Analysis](https://global.oup.com/academic/product/an-introduction-to-state-space-time-series-analysis-9780199228874?cc=us&lang=en&). Oxford Univerity Press.



Cryer, Jonathan D., and Kung-Sik Chan (2008). [Time Series Analysis: With Applications in R](https://link.springer.com/book/10.1007/978-0-387-75959-3). Springer. [TSA](https://cran.r-project.org/web/packages/TSA/index.html) is the associated R package, and code and data are at Chan's [site](https://homepage.divms.uiowa.edu/~kchan/TSA.htm).



De Gooijer, Jan G. (2017). [Elements of Nonlinear Time Series Analysis and Forecasting](https://link.springer.com/book/10.1007/978-3-319-43252-6). Code and data [here](https://extras.springer.com/?query=978-3-319-43251-9).



Deistler, Manfred, and Wolfgang Scherrer (2022). [Time Series Models](https://link.springer.com/book/10.1007/978-3-031-13213-1). Springer



Diebold, Francis (2024). [Forecasting in Economics, Business, Finance and Beyond](https://www.sas.upenn.edu/~fdiebold/Teaching221/Forecasting.pdf). Self-published, free. Course site [here](https://www.sas.upenn.edu/~fdiebold/Teaching221/econ221Penn.html), data and code [here](https://www.sas.upenn.edu/~fdiebold/Textbooks.html).



Douc, Randal, Eric Moulines, and David Stoffer (2014). [Nonlinear Time Series: Theory, Methods and Applications with R Examples](https://www.routledge.com/Nonlinear-Time-Series-Theory-Methods-and-Applications-with-R-Examples/Douc-Moulines-Stoffer/p/book/9781466502253). Chapman & Hall. [nltsa](https://github.com/nickpoison/nltsa) is the R package associated with the book, and R code listings are [here](https://www.stat.pitt.edu/stoffer/nltsa/Rcode.html).



Durbin, James, and Siem Jan Koopman (2012). [Time Series Analysis by State Space Methods, 2nd. ed.](https://academic.oup.com/book/16563). Oxford University Press. A paper co-authored by Koopman is [Statistical Software for State Space Methods](https://www.jstatsoft.org/article/view/v041i01).



Fan, Jianqing and Qiwei Yao (2003). [Nonlinear Time Series: Nonparametric and Parametric Methods](https://link.springer.com/book/10.1007/978-0-387-69395-8). Springer. Codes at Fan's [site](https://fan.princeton.edu/fan/nls.html).



Francq, Christian, and Jean-Michel Zakoian (2019). [GARCH Models: Structure, Statistical Inference and Financial Applications](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119313472). Wiley. R and Fortran codes are at Francq's [site](http://christian.francq140.free.fr/Christian-Francq/book-GARCH.html).



Franses, Philip Hans, and Dick van Dijk (2000). [Non-Linear Time Series Models in Empirical Finance](https://www.cambridge.org/core/books/nonlinear-time-series-models-in-empirical-finance/FF6720F6B34548290D813D9652FB425A). Cambridge University Press



Frühwirth-Schnatter, Sylvia (2006). [Finite Mixture and Markov Switching Models](https://link.springer.com/book/10.1007/978-0-387-35768-3). Springer. [Bayesf](https://statmath.wu.ac.at/~fruehwirth/monographie/) is a Matlab package associated with the book.



Gómez, Victor (2019). [Linear Time Series with MATLAB and OCTAVE](https://link.springer.com/book/10.1007/978-3-030-20790-8). Springer. [SSMMATLAB](https://www.mathworks.com/academia/books/linear-time-series-with-matlab-and-octave-gomez.html) is the associated Matlab package.



Gouriéroux, Christian (1997). [ARCH Models and Financial Applications](https://link.springer.com/book/10.1007/978-1-4612-1860-9). Springer.



Granger, C. W. J., and Michio Hatanaka (1964). [Spectral Analysis of Economic Time Series](https://press.princeton.edu/books/hardcover/9780691651323/spectral-analysis-of-economic-time-series-psme-1). Princeton University Press



Engle, Robert F., and C. W. J. Granger (1992). [Long-Run Economic Relationships: Readings in Cointegration](https://global.oup.com/academic/product/long-run-economic-relationships-9780198283393?cc=us&lang=en&). Oxford University Press.



Hagiwara, Junichiro (2021). [Time Series Analysis for the State-Space Model with R/Stan](https://link.springer.com/book/10.1007/978-981-16-0711-0). Springer. Author's [repo](https://github.com/hagijyun/Time_Series_Analysis_4SSM_R_Stan).



Hamilton, James D. (1994). [Time Series Analysis](https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis). Princeton University Press. Code at Hamilton's [site](https://econweb.ucsd.edu/~jhamilto/software.htm#book)



Hannan, E. J., and Manfred Deistler (1988). [The Statistical Theory of Linear Systems](https://epubs.siam.org/doi/book/10.1137/1.9781611972191). SIAM.



Harvey, Andrew C. (1990). [The Econometric Analysis of Time Series](https://mitpress.mit.edu/9780262081894/the-econometric-analysis-of-time-series/). MIT Press.



Harvey, Andrew C. (1990). [Forecasting, Structural Time Series Models and the Kalman Filter](https://www.cambridge.org/core/books/forecasting-structural-time-series-models-and-the-kalman-filter/CE5E112570A56960601760E786A5E631). Cambridge University Press.



Harvey, Andrew C. (1993). [Time Series Models, 2nd ed.](https://mitpress.mit.edu/9780262082242/time-series-models/). MIT Press.



Harvey, Andrew C., Siem Jan Koopman, and Neil Shephard, editors (2004). [State Space and Unobserved Component Models:

Theory and Applications](https://www.cambridge.org/core/books/state-space-and-unobserved-component-models/5F88EE787410BBA3167BC4E800B5F707). Cambridge University Press.



Harvey, Andrew C. (2013). [Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series](https://www.cambridge.org/us/universitypress/subjects/economics/econometrics-statistics-and-mathematical-economics/dynamic-models-volatility-and-heavy-tails-applications-financial-and-economic-time-series). Cambridge University Press. [Time Series Lab](https://timeserieslab.com/) is associated software, and [GAS](https://cran.r-project.org/web/packages/GAS/index.html) is a related R package.



Hassler, Uwe (2018). [Time Series Analysis with Long Memory in View](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119470380). Wiley.



Huang, Changquan, and Alla Petukhina (2022). [Applied Time Series Analysis and Forecasting with Python](https://link.springer.com/book/10.1007/978-3-031-13584-2). [PythonTsa](https://pypi.org/project/PythonTsa/) is the associated Python package, with other code at Petukhina's [repo](https://github.com/allapetukhina/TSP).



Hyndman, Rob J., Anne B. Koehler, J. Keith Ord, and Ralph D. Snyder (2008). [Forecasting with Exponential Smoothing: the State Space Approach](https://robjhyndman.com/expsmooth/). Springer. Associated R packages are [forecast](https://cran.r-project.org/web/packages/forecast/index.html), [fable](https://cran.r-project.org/web/packages/fable/index.html), and [expsmooth](https://cran.r-project.org/web/packages/expsmooth/index.html), with R code and data at Hyndman's [site](https://robjhyndman.com/expsmooth/)



Hyndman, Rob J., and George Athanasopoulos (2021). [Forecasting: Principles and Practice, 3rd ed.](https://otexts.com/fpp3/). OTexts. [Tsibble](https://cran.r-project.org/web/packages/tsibble/index.html) and [fable](https://cran.r-project.org/web/packages/fable/index.html) are associated R packages, and the text of the book is available online.



Johansen, Søren (1995). [Likelihood-Based Inference in Cointegrated Vector Autoregressive Models](https://academic.oup.com/book/27916). Oxford University Press.



Kantz, Holger, and Thomas Schreiber (2010), [Nonlinear Time Series Analysis, 2nd. ed.](https://www.cambridge.org/core/books/nonlinear-time-series-analysis/519783E4E8A2C3DCD4641E42765309C7). Cambridge University Press. [TISEAN](http://www.mpipks-dresden.mpg.de/∼tisean) is associated software, with [tseriesChaos](https://cran.r-project.org/web/packages/tseriesChaos/index.html) a related R package.



Kim, Chang-Jin, and Charles R. Nelson (1999). [State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications](https://direct.mit.edu/books/monograph/3265/State-Space-Models-with-Regime-SwitchingClassical). MIT Press.



Kitagawa, Genshiro, and Will Gersch (1996). [Smoothness Priors Analysis of Time Series](https://link.springer.com/book/10.1007/978-1-4612-0761-0). Springer



Kitagawa, Genshiro (2020). [Introduction to Time Series Modeling with Applications in R](https://www.routledge.com/Introduction-to-Time-Series-Modeling-with-Applications-in-R/Kitagawa/p/book/9780367494247). Routledge. A related R package is [TSSS](https://cran.r-project.org/web/packages/TSSS/index.html) (Time Series Analysis with State Space Model)



Li, Ta-Hsin (2014). [Time Series with Mixed Spectra](https://www.taylorfrancis.com/books/mono/10.1201/b15154/time-series-mixed-spectra-ta-hsin-li). CRC Press. [Qfa](https://cran.r-project.org/web/packages/qfa/index.html) is the associated R package.



Lütkepohl, Helmut (2005). [New Introduction to Multiple Time Series Analysis](https://link.springer.com/book/10.1007/978-3-540-27752-1). Springer



Maddala, G. S., and In-Moo Kim (2010). [Unit Roots, Cointegration, and Structural Change](https://www.cambridge.org/core/books/unit-roots-cointegration-and-structural-change/4777D0336B984F0DC9664A793F4156BE). Cambridge University Press



Mills, Terence C., and Raphael N. Markellos (2008). [The Econometric Modelling of Financial Time Series, 3rd ed.](https://www.cambridge.org/core/books/econometric-modelling-of-financial-time-series/2B46D5778C624AD9AD1D0D5E2AB04668), Cambridge University Press.



Palma, Wilfredo (2007). [Long-Memory Time Series: Theory and Methods](https://www.wiley.com/en-us/Long-Memory+Time+Series%3A+Theory+and+Methods-p-9780470114025). Some data and R and S+ code is at the author's [site](https://www.mat.uc.cl/~wilfredo/english/).



Peña, Daniel, and Ruey S. Tsay (2021). [Statistical Learning for Big Dependent Data](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119417408). Wiley. [SLBDD](https://cran.r-project.org/web/packages/SLBDD/index.html) is the associated R package.



Petris, Giovanni, Sonia Petrone, and Patrizia Campagnoli (2009). [Dynamic Linear Models with R](https://link.springer.com/book/10.1007/b135794). Springer. [Dlm](https://cran.r-project.org/web/packages/dlm/index.html) is the associated R package.



Pfaff, Bernhard (2008). [Analysis of Integrated and Cointegrated Time Series with R, 2nd ed.](https://link.springer.com/book/10.1007/978-0-387-75967-8). Springer. [Urca](https://cran.r-project.org/web/packages/urca/index.html) is an associated R package.



Pole, Andy, Mike West, Jeff Harrison (1994). [Applied Bayesian Forecasting and Time Series Analysis](https://www.routledge.com/Applied-Bayesian-Forecasting-and-Time-Series-Analysis/Pole-West-Harrison/p/book/9780367449384). BATS software is at West's [site](https://www2.stat.duke.edu/~mw/mwsoftware/BATS/), as is [other software](https://www2.stat.duke.edu/~mwest/softwareetc.html).



Prado, Raquel, Marco A. R. Ferreira, and Mike West (2021). [Time Series: Modeling, Computation, and Inference](https://www.taylorfrancis.com/books/mono/10.1201/9781351259422/time-series-raquel-prado-mike-west-marco-ferreira). CRC Press. Code at West's [site](https://www2.stat.duke.edu/~mwest/TSFCourseSoftware/).



Rao, B. Bhaskara (1994). [Cointegration for the Applied Economist](https://link.springer.com/book/10.1007/978-1-349-23529-2). Springer



Reinsel, Gregory C. (1997). [Elements of Multivariate Time Series Analysis, 2nd ed.](https://link.springer.com/book/9780387406190). Springer



Robinson, Peter M. (2003). [Time Series With Long Memory](https://academic.oup.com/book/51958). Oxford University Press



Shephard, Neil, editor (2005). [Stochastic Volatility: Selected Readings](https://academic.oup.com/book/51972). Oxford University Press.



Shumway, Robert H., and David S. Stoffer (2025). [Time Series Analysis and Its Applications: With R Examples](https://link.springer.com/book/9783031705830). Springer. [ASTSA](https://cran.r-project.org/web/packages/astsa/index.html) is the associated R package, and other code is [here](https://github.com/nickpoison/tsa5/blob/main/textRcode.md).



Svetunkov, Ivan (2024). [Forecasting and Analytics with the Augmented Dynamic Adaptive Model (ADAM)](https://www.routledge.com/Forecasting-and-Analytics-with-the-Augmented-Dynamic-Adaptive-Model-ADAM/Svetunkov/p/book/9781032590370). CRC. [Greybox](https://cran.r-project.org/web/packages/greybox/index.html) and [smooth](https://cran.r-project.org/web/packages/smooth/index.html) are associated R packages, and the text of the book is available [here](https://openforecast.org/adam/).



Takahashi, Makoto, Yasuhiro Omori, Toshiaki Watanabe (2023). [Stochastic Volatility and Realized Stochastic Volatility Models](https://link.springer.com/book/10.1007/978-981-99-0935-3). Springer. [ASV: Stochastic Volatility Models with or without Leverage](https://cran.r-project.org/web/packages/ASV/index.html) is an R package co-authored by Omori, and other software is at Omori's [site](https://sites.google.com/view/omori-stat/english/software).



Taylor, Stephen J. (2007). [Modelling Financial Time Series, 2nd ed.](https://www.worldscientific.com/worldscibooks/10.1142/6578#t=aboutBook). World Scientific.



Taylor, Stephen J. (2011). [Asset Price Dynamics, Volatility, and Prediction](https://press.princeton.edu/books/paperback/9780691134796/asset-price-dynamics-volatility-and-prediction). Princeton Univerity Press.



Teräsvirta, Timo, Dag Tjøstheim, and Clive W. J. Granger (2010). [Modelling Nonlinear Economic Time Series](https://academic.oup.com/book/11310). Oxford University Press.



Tong, Howell (1993). [Non-Linear Time Series: A Dynamical System Approach](https://global.oup.com/academic/product/non-linear-time-series-9780198523000?cc=us&lang=en&). Oxford University Press.



Triantafyllopoulos, Kostas (2021). [Bayesian Inference of State Space Models: Kalman Filtering and Beyond](https://link.springer.com/book/10.1007/978-3-030-76124-0). Springer.



Tsay, Ruey S. (2010). [Analysis of Financial Time Series, 3rd ed.](https://www.wiley.com/en-us/Analysis+of+Financial+Time+Series%2C+3rd+Edition-p-9781118017098). Wiley. Data and codes are at the author's [site](https://faculty.chicagobooth.edu/ruey-s-tsay/research/analysis-of-financial-time-series-3rd-edition)



Tsay, Ruey S. (2014). [Multivariate Time Series Analysis: with R and Financial Applications](https://www.wiley.com/en-us/Multivariate+Time+Series+Analysis%3A+With+R+and+Financial+Applications-p-9781118617755). Wiley. [MTS](https://cran.r-project.org/web/packages/MTS/index.html) is the associated R package, and other R codes are at the author's [site](https://faculty.chicagobooth.edu/ruey-s-tsay/research/multivariate-time-series-analysis-with-r-and-financial-applications). 



Tsay, Ruey S., and Rong Chen (2018). [Nonlinear Time Series Analysis](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119514312). Wiley. [NTS](https://cran.r-project.org/web/packages/NTS/index.html) is the associated R package.



Visser, Ingmar, and Maarten Speekenbrink (2022). [Mixture and Hidden Markov Models with R](https://link.springer.com/book/10.1007/978-3-031-01440-6). [Hmmr](https://cran.r-project.org/web/packages/hmmr/index.html) and [depmixS4](https://cran.r-project.org/web/packages/depmixS4/index.html).



Wei, William W. S. (2018). [Multivariate Time Series Analysis and Applications](https://www.wiley.com/en-us/Multivariate+Time+Series+Analysis+and+Applications-p-9781119502937). Wiley



Wei, William W. S. (2019). [Time Series Analysis: Univariate and Multivariate Methods, 2nd ed.](https://www.amazon.com/Time-Analysis-Univariate-Multivariate-Methods/dp/0321322169). Pearson



Weigend, Andreas S. (1994). [Time Series Prediction: Forecasting The Future And Understanding The Past](https://www.taylorfrancis.com/books/mono/10.4324/9780429492648/time-series-prediction-andreas-weigend). Routledge.



West, Mike, and Jeff Harrison (1997). [Bayesian Forecasting and Dynamic Models, 2nd. ed.](https://link.springer.com/book/10.1007/b98971). Springer



Woodward, Wayne A., Henry L. Gray, and Alan C. Elliott (2021). [Applied Time Series Analysis with R, 2nd ed.](https://www.routledge.com/Applied-Time-Series-Analysis-with-R/Woodward-Gray-Elliott/p/book/9781032097220). CRC Press. [Tswge](https://cran.r-project.org/web/packages/tswge/index.html) is an associated R package.



Zeng, Yong, and Shu Wu (2013). [State-Space Models: Applications in Economics and Finance](https://link.springer.com/book/10.1007/978-1-4614-7789-1). Springer. Part I includes three chapters on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. Part II includes four chapters on the application of Linear State-Space Models in Macroeconomics and Finance. Part III includes five chapters on Hidden Markov Models (HMM), Regime Switching, and Mathematical Finance.



Zucchini, Walter, Iain L. MacDonald, and Roland Langrock (2016). [Hidden Markov Models for Time Series: An Introduction Using R, 2nd ed.](https://www.routledge.com/Hidden-Markov-Models-for-Time-Series-An-Introduction-Using-R-Second-Edition/Zucchini-MacDonald-Langrock/p/book/9781032179490). CRC Press. R codes are [here](http://www.hmms-for-time-series.de/second/index_v2.html), and R packages used are [depmixS4](https://cran.r-project.org/web/packages/depmixS4/index.html), [HiddenMarkov](https://cran.r-project.org/web/packages/HiddenMarkov/), and [msm](https://cran.r-project.org/web/packages/msm/index.html).