Two of the smartest econometricians I know are Prof. Stephen Taylor of Lancaster University, and Prof. James Davidson of Exeter University.
I recall spending many profitable hours in the 1980’s with Stephen’s book Modelling Financial Time Series, which I am pleased to see has now been reprinted in a second edition. For a long time this was the best available book on the topic and it remains a classic. It has been surpassed by very few books, one being Stephen’s later work Asset Price Dynamics, Volatility and Prediction. This is a superb exposition, one that will repay close study.
James Davidson is one of the smartest minds in econometrics. Not only is his research of the highest caliber, he has somehow managed (in his spare time!) to develop one of the most advanced econometrics packages available. Based on Jurgen Doornik’s Ox programming system, the Time Series Modelling package covers almost every conceivable model type, including regression models, ARIMA, ARFIMA and other single equation models, systems of equations, panel data models, GARCH and other heteroscedastic models and regime switching models, accompanied by very comprehensive statistical testing capabilities. Furthermore, TSM is very well documented and despite being arguably the most advanced system of its kind it is inexpensive relative to alternatives. James’s research output is voluminous and often highly complex. His book, Econometric Theory, is an excellent guide to the state of the art, but not for the novice (or the faint hearted!).
Those looking for a kinder, gentler introduction to econometrics would do well to acquire a copy of Prof. Chris Brooks’s Introductory Econometrics for Finance. This covers most of the key ideas, from regression, through ARMA, GARCH, panel data models, cointegration, regime switching and volatility modeling. Not only is the coverage comprehensive, Chris’s explanation of the concepts is delightfully clear and illustrated with interesting case studies which he analyzes using the EViews econometrics package. Although not as advanced as TSM, EViews has everything that most quantitative analysts are likely to require in a modeling system and is very well suited to Chris’s teaching style. Chris’s research output is enormous and covers a great many topics of interest to financial market analysts, in the same lucid style.