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"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 quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends."

Investment management --- Stocks --- Commodity exchanges --- Financial futures --- Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Futures, Financial --- Futures --- Hedging (Finance) --- Commodities exchange --- Commodity markets --- Exchanges, Commodity --- Exchanges, Produce --- Produce exchanges --- Futures market --- Commercial products --- Produce trade --- Speculation --- Prices --- Mathematical models. --- Time-series analysis --- Mathematical models --- 304.0 --- 305.91 --- AA / International- internationaal --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Securities --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Prices&delete& --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Stocks - Prices - Mathematical models --- Commodity exchanges - Mathematical models --- Financial futures - Mathematical models