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If I were to learn time-series from the beginning these are the books I would buy and the order that I would study them in. I would also utilize Duke's website as it is very well written and accurate. Most people will not need to go past the intermediate! Too many people get caught up in trying to read the most advanced books possible. Learning from a simple starting point ensures you have a better grasp of the ideas which allows you to apply them to new problems.
Introductory Econometrics: A Modern Approach
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Statistical Analysis of Financial Data in R
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Analysis of Financial Time Series
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Time Series Analysis
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All links are my Amazon affiliate links. The books will NOT cost you any more than if you found them on your own. Amazon just pays me a small amount as a reward for driving them traffic. Also, Springer books can often be purchased directly from them for cheaper. If you are at a university, Springer is often free online for digital copies.
Free Resources (including Duke's time-series):
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