This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

Key Features:Gives the first account of the major, empirical, stylized facts for financial asset returnsShows how innovative models for prices can be estimated and used to make forecastsContains pioneering contributions about the volatility of asset pricesProvides a summary of many recent...