Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of...

1. Nonlinearity in Stochastic Processes: What it Is and Why it Matters -- 2. Detecting Nonlinear Serial Dependence -- 3. How to Run the Toolkit Program on a PC -- 4. Artificially Generated Data: Size Considerations -- 5. Artificially Generated Data: Power And Model Specification Considerations...

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically...