Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in...

Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians...

Intro -- Series -- Title page -- Copyright -- Dedication -- Preface/Justification -- FOUR CHARACTERISTICS OF A LESS-THAN- PERFECT ECONOMY -- WHY THIS BOOK? -- Acknowledgments -- CHAPTER 1 Setting the Context -- THE PROBLEM WITH UNCRITICAL ASSUMPTIONS IN A LESS-THAN-PERFECT ECONOMY -- THE PROBLEM...