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Written by an expert in the field, and representing more than 25 years of teaching and research combined, the purpose of this handbook is to provide a practical one-stop reference on univariate and multivariate times series with a focus on the theories, methodologies, and algorithms that accompany them. It is intended to be a comprehensive collection of the tools and their associated methods of data analysis. A very detailed, but approachable overview of both VAR and VARMA models is carefully woven throughout the contents. The book provides an updated coverage of several useful and newly-developed techniques such as weak and strong dependence, Bayesian analysis, local stationarity, missing values and outliers, methods for analyzing financial time series, cointegration, time-varying models, portfolio analysis, and linear dynamical systems, among others. The chosen topics are systematically organized in a progressive manner so as to provide suitable continuity and easy reference from beginning to end for practitioners and researchers from different disciplines. Students can use it as an introduction to and/or summary of key concepts. Chapters are self-contained by topic. A companion Web site is available for readers who wish to access relevant R data sets that are showcased within the text.