1. Modelling Stock Market Volatility Changes / Daniel B. Nelson -- 2. Stationarity and Persistence in the GARCH(I,I) Model / Daniel B. Nelson -- 3. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 4. Good News, Bad News, Volatility, and Betas / Phillip A. Braun, Daniel B. Nelson and Alain M. Sunier -- 5. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 6. Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model / Daniel B. Nelson -- 7. Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model / Daniel B. Nelson and Dean P. Foster -- 8. Asymptotic Filtering Theory for Univariate ARCH Models / Daniel B. Nelson and Dean P. Foster -- 9. Asymptotic Filtering Theory for Multivariate ARCH Models / Daniel B. Nelson -- 10. Continuous Record Asymptotics for Rolling Sample Variance Estimators / Dean P. Foster and Daniel B. Nelson.

11. Estimating Diffusion Models of Stochastic Volatility / Robert F. Engle and Gary G. J. Lee -- 12. Specification Analysis of Continuous Time Models in Finance / A. Ronald Gallant and George Tauchen -- 13. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes / Lars Peter Hansen and Jose Alexandre Scheinkman -- 14. Nonparametric Pricing of Interest Rgte Derivative Securities / Yacine Ait-Sahalia.