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...

The NATO Advanced Research Workshop on “A reappraisal of the efficiency of financial markets” -- Section 1 Survey Papers -- What do we know about stock market “efficiency”? -- Stock price reversals and overreaction to new events: A survey of theory and evidence -- Comments -- Seasonal...

The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...