This book will be useful to economists and analysists in government and financial/commercial companies who routinely monitor the state of the economic cycle, and who produce short-term forecasts. It will also be of interest to academics who do business cycle research, and who need to extract a measure of the cycle from the data.
Regina Kaiser
Stochastic Processes calculus correlation time series time series analysis
From the reviews:
MATHEMATICAL REVIEWS
"Altogether this book is more on the mathematical side, it is well written following the same idea throughout and contains many exercises which complete the different topics. The text concentrates on the approach of the authors…I enjoyed reading this nicely written book which can certainly be recommended to all mathematically oriented statisticians interested in the subject."