Chapter 1 Recent Advances in ARCH Modelling

Chapter 2 Long Memory in Economics

Chapter 3 The Spectrum of Euro-Dollar

Chapter 4 Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes

Chapter 5 Adaptive Detection of Multiple Change-Points in Asset Price Volatility

Chapter 6 Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory

Chapter 7 Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series

Chapter 8 Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm

Chapter 9 A Nonlinear Structural Model for Volatility Clustering

Chapter 10 Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

Chapter 12 A Minimal Noise Trader Model with Realistic Time Series Properties

Chapter 13 Long Memory and Hysteresis