<P>Contents<br>Part I Statistical Methods<br>Recent Advances in ARCH Modelling<br>Liudas Giraitis, Remigijus Leipus, Donatas Surgailis . . . . . . . . . . . . . . . . . 3<br>Intermittency, Long–Memory and Financial Returns<br>Raj Bhansali, Mark P. Holland, Piotr S. Kokoszka . . . . . . . . . . . . . . . . . . . 39<br>The Spectrum of Euro–Dollar<br>Vincent Brousseau . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69<br>H¨olderian Invariance Principles and Some Applications for<br>Testing Epidemic Changes<br>Alfredas Raˇckauskas, Charles Suquet. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109<br>Adaptive Detection of Multiple Change–Points in Asset Price<br>Volatility<br>Marc Lavielle, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129<br>Bandwidth Choice, Optimal Rates and Adaptivity in<br>Semiparametric Estimation of Long Memory<br>Marc Henry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157<br>Wavelet Analysis of Nonlinear Long–Range Dependent<br>Processes. Applications to Financial Time Series<br>Gilles Teyssi`ere, Patrice Abry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173<br>Prediction, Orthogonal Polynomials and Toeplitz Matrices.<br>A Fast and Reliable Approximation to the Durbin–Levinson<br>Algorithm<br>Djalil Kateb, Abdellatif Seghier, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . 239</P>
<P>Part II Economic Models<br>A Nonlinear Structural Model for Volatility Clustering<br>Andrea Gaunersdorfer, Cars Hommes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265<br>Volatility Clustering in Financial Markets: Empirical Facts<br>and Agent–Based Models<br>Rama Cont. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289<br>The Microeconomic Foundations of Instability in Financial<br>Markets<br>Alan Kirman . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311<br>A Minimal Noise Trader Model with Realistic Time Series<br>Properties<br>Simone Alfarano, Thomas Lux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345<br>Long Memory and Hysteresis<br>Christian de Peretti . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363</P>
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