Chapter 1: Linear Regression Model
Chapter 2: Autoregressive Moving Average (ARMA) Models and Their Practical
Applications
Chapter 3: Vector Autoregressive Moving Average (VARMA) Models
Chapter 4: Unit Roots and Cointegration
Chapter 5: Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH
Chapter 6: Multivariate GARCH and Conditional Correlation Models
Chapter 7: Multifactor Heteroskedastic Models, Stochastic Volatility
Chapter 8: Models With Breaks, Recurrent Regime Switching, and Nonlinearities
Chapter 9: Markov Switching Models
Chapter 10: Realized Volatility and Covariance
Essentials of Time Series for Financial Applications 