ABSTRACT
This chapter surveys issues concerning seasonality in economic time series. An elaborate discussion on a formal definition of seasonality is given in, e.g., Hylleberg (1986, 1992). Here I loosely refer to seasonality as the variation in time-series data that displays a certain regularity corresponding with the measurement interval. For example, for data one may consider the annually posJt!ve or negative peaks in certain quarters as seasonal fluctuations. Furthermore, the observation that stock returns on Mondays seem more volatile than those on other concerns seasonality too, that is, seasonality in variance.
