This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of...

Introduction -- ARMA models -- Forecasting stationary processes -- Estimation of Mean and Autocovariance Function -- Estimation of ARMA Models -- Spectral Analysis and Linear Filters -- Integrated Processes -- Models of Volatility -- Multivariate Time series -- Estimation of Covariance Function...