Time Series in Economics and Finance

This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, auorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of e...