Dear Research Gate community,
I would like to forecast financial time series as well as energy time series (ideally natural gas).
Can you suggests books and/or papers regarding forecasting in practice?
Since I have to buy the books on my own it would be nice if you would take the cost-benefit ratio into account.
Thank you in advance.
Best regards,
Sebastian
If you are unfamiliar with time series analysis, Time series analysis by state space methods, Durbin and Koopman, is a very good text. If you know time series analysis in general and are looking only for financial time series forecasting, you need a selection of papers.
The financial time series book by Ruey Tsay. It's available in the z-library I believe. Best wishes, David Booth
two great books with R code :
https://robjhyndman.com/hyndsight/fpp/
https://robjhyndman.com/expsmooth/
second-hand copies are usually affordable
z-lib is free indeed but i don't know how the authors feel about it ...
Applied Time Series Analysis: A Practical Guide to Modeling and Forecasting
Terence C. Mills
This is a good time series book.
Applied Probability and Stochastic Processes
Richard M. Feldman, Ciriaco Valdez-Flores
This is a useful text in the applied stochastic processes.
These books are of another approach:
Introduction to Time Series Forecasting with Python: How to Prepare Data and Develop Models to Predict the Future
Jason Brownlee
Practical time series analysis: master time series data processing, visualization, and modeling using Python
Avishek Pal, PKS Prakash
Deep Learning for Time Series Forecasting - Predict the Future with MLPs, CNNs and LSTMs in Python
Jason Brownlee
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