Incluye bibliografías.

Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman -- 11. A capital-asset pricing model with time-varying covariances / Tim Bollerslev, Robert F. Engle and Jeffrey M. Wooldridge -- 12. Multivariate stochastic variance models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 13. Asset pricing with a Factor-Arch covariance structure: empirical estimates for treasury bills / Robert F. Engle, Victor K Ng and Michael Rothschild -- 14. Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model / Tim Bollerslev -- 15. Forecasting volatility and option prices of the S&P 500 index / Jeaseun Noh, Robert F. Engle and Alex Kane -- 16. Stock market volatility and the information content of stock index options /Theodore E. Day and Craig M. Lewis -- 17. Implied ARCH models from options prices / Robert F. Engle and Craig M. Lewis -- 18. Meteor showers of heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market / Robert F. Engle, Takatoshi Ito and Wen-Ling Lin.