Nicolau, João2024-04-092024-04-092007Nicolau, João .(2007). “Financial econometric model” in A Portrait of State-of-the-art Research at the Technical University of Lisbon, Manuel Seabra Pereira, (Ed.), pp. 23-41. (Search Chapter PDF in 2024)10 1-4020-5690-7http://hdl.handle.net/10400.5/30700Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.engARCH ModelsDiffusion ProcessesBounded Random WalkVolatility-Induced StationaritySecond Order Stochastic Differential Equationsbook part