edited by Wai-Sum Chan (The University of Hong Kong), Wai Keung Li (The University of Hong Kong), & Howell Tong (The University of Hong Kong)

• Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)
• Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)
• Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)
• A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)
• Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)
• Volatility Computed by Time Series Operators at High Frequency (U A Müller)
• Missing Values in ARFIMA Models (W Palma)
• Second Order Tail Effects (C G de Vries)
• Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)
• On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)
• Interval Prediction of Financial Time Series (B Cheng & H Tong)
• A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)
• Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)
• Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)
• and other papers