1. Introduction -- 2. ARMA models -- 3. Forecasting stationary processes -- 4. Estimation of Mean and Autocovariance Function -- 5.Estimation of ARMA Models -- 6. Spectral Analysis and Linear Filters -- 7. Integrated Processes -- 8. Models of Volatility -- 9. Multivariate Time series -- 10. Estimation of Covariance Function -- 11. VARMA Processes -- 12. Estimation of VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15. Co-integration -- 16. The Kalman Filter -- 17. Appendices.
