Though information-theoretic approaches still play only a minor role in nancial marketanalysis, there have been two recent approaches developing independently one in econo-physics and the other in econometrics. Both approaches generalize the notion of eitherARCH or GARCH models.The econometric...

The ARCH model introduced by Engle [1982] and extended to the GARCH model byBollerslev [1986] is able to capture some of the stylized facts of nancial data Rama [2001].The analysis of nancial time series is sensitive to outliers, due to the temporal dependencein the data. According to Carnero et...