Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity was frequently associated with simple transaction costs that impose - temporary if any- effect on asset prices, and whose shocks could be easily diversified away. Yet the...

Cover -- Title Page -- Copyright -- Contents -- Chapter 1 Classical Time Series Models and Financial Series -- 1.1 Stationary Processes -- 1.2 ARMA and ARIMA Models -- 1.3 Financial Series -- 1.4 Random Variance Models -- 1.5 Bibliographical Notes -- 1.6 Exercises -- Part I Univariate GARCH...