附件有四個PDF文件:
1) Time series analysis - by Harmilton
2) Econometrics theory and method
3) The econometrics of Utlra- high frequency data - by Engle
4) Autoregressive conditional duration: a new model for irregularly spaced transactiob data - by Engle & Russell


第一個是本好书，是时间序列的經典教材，这个教材好在它概念清晰，简明. 幾乎包含了time series所有部份課題. 但本書也很長,有上七百多頁.
第二本是有關Econometrics theory的書,內容比較elementary,適合想打好基礎的同学.
第三,四個pdf是 Engle 有關 econometrics 的鴻文,很有參考價值. 如果想對financial econometrics有更深認識,實在不錯過!



Time series analysis - by Harmilton

Table of content:
Preface  
1 Difference Equations 1
2 Lag Operators 25
3 Stationary ARMA Processes 43
4 Forecasting 72
5 Maximum Likelihood Estimation 117
6 Spectral Analysis 152
7 Asymptotic Distribution Theory 180
8 Linear Regression Models 200
9 Linear Systems of Simultaneous Equations 233
10 Covariance-Stationary Vector Processes 257
11 Vector Autoregressions 291
12 Bayesian Analysis 351
13 The Kalman Filter 372
14 Generalized Method of Moments 409
15 Models of Nonstationary Time Series 435
16 Processes with Deterministic Time Trends 454
17 Univariate Processes with Unit Roots 475
18 Unit Roots in Multivariate Time Series 544
19 Cointegration 571
20 Full-Information Maximum Likelihood Analysis of Cointegrated Systems 630
21 Time Series Models of Heteroskedasticity 657
22 Modeling Time Series with Changes in Regime 677
A Mathematical Review 704
B Statistical Tables 751
C Answers to Selected Exercises 769
D Greek Letters and Mathematical Symbols Used in the Text 786
Author Index 789
Subject Index 792