Preface
1. Introduction
　1.1 Asset Price Dynamics
　1.2 Volatility
　1.3 Prediction
　1.4 Information
　1.5 Contents
　1.6 Software
　1.7 Web Resources
PART I: Foundations
　2. Prices and Returns
　　2.1 Introduction
　　2.2 Two Examples of Price Series
　　2.3 Data-Collection Issues
　　2.4 Two Returns Series
　　2.5 Definitions of Returns
　　2.6 Further Examples of Time Series of Returns
　3. Stochastic Processes: Definitions and Examples
　　3.1 Introduction
　　3.2 Random Variables
　　3.3 Stationary Stochastic Processes
　　3.4 Uncorrelated Processes
　　3.5 ARMA Processes
　　3.6 Examples of ARMA 1 1 Specifications
　　3.7 ARIMA Processes
　　3.8 ARFIMA Processes
　　3.9 Linear Stochastic Processes
　　3.10 Continuous-Time Stochastic Processes
　　3.11 Notation for Random Variables and Observations
　4. Stylized Facts for Financial Returns
　　4.1 Introduction
　　4.2 Summary Statistics
　　4.3 Average Returns and Risk Premia
　　4.4 Standard Deviations
　　4.5 Calendar Effects
　　4.6 Skewness and Kurtosis
　　4.7 The Shape of the Returns Distribution
　　4.8 Probability Distributions for Returns
　　4.9 Autocorrelations of Returns
　　4.10 Autocorrelations of Transformed Returns
　　4.11 Nonlinearity of the Returns Process
　　4.12 Concluding Remarks
　　4.13 Appendix: Autocorrelation Caused by Day-of-the-Week Effects
　　4.14 Appendix: Autocorrelations of a Squared Linear Process
PART II: Conditional Expected Returns
　5. The Variance-Ratio Test of the Random Walk Hypothesis
　　5.1 Introduction
　　5.2 The Random Walk Hypothesis
　　5.3 Variance-Ratio Tests
　　5.4 An Example of Variance-Ratio Calculations
　　5.5 Selected Test Results
　　5.6 Sample Autocorrelation Theory
　　5.7 Random Walk Tests Using Rescaled Returns
　　5.8 Summary
　6. Further Tests of the Random Walk Hypothesis
　　6.1 Introduction
　　6.2 Test Methodology
　　6.3 Further Autocorrelation Tests
　　6.4 Spectral Tests
　　6.5 The Runs Test
　　6.6 Rescaled Range Tests
　　6.7 The BDS Test
　　6.8 Test Results for the Random Walk Hypothesis
　　6.9 The Size and Power of Random Walk Tests
　　6.10 Sources of Minor Dependence in Returns
　　6.11 Concluding Remarks
　　6.12 Appendix: the Correlation between Test Values for Two Correlated Series
　　6.13 Appendix: Autocorrelation Induced by Rescaling Returns
　7. Trading Rules and Market Efficiency
　　7.1 Introduction
　　7.2 Four Trading Rules
　　7.3 Measures of Return Predictability
　　7.4 Evidence about Equity Return Predictability
　　7.5 Evidence about the Predictability of Currency and Other Returns
　　7.6 An Example of Calculations for the Moving-Average Rule
　　7.7 Efficient Markets: Methodological Issues
　　7.8 Breakeven Costs for Trading Rules Applied to Equities
　　7.9 Trading Rule Performance for Futures Contracts
　　7.10 The Efficiency of Currency Markets
　　7.11 Theoretical Trading Profits for Autocorrelated Return Processes
　　7.12 Concluding Remarks
PART III: Volatility Processes
　8. An Introduction to Volatility
　9. ARCH Models: Definitions and Examples
　10. ARCH Models: Selection and Likelihood Methods
　11. Stochastic Volatility Models
PART IV: High-Frequency Methods
　12. High-Frequency Data and Models
PART V: Inferences from Option Prices
　13. Continuous-Time Stochastic Processes
　14. Option Pricing Formulae
　15. Forecasting Volatility
　16. Density Prediction for Asset Prices
Symbols
References
Author Index
Subject Index