Statistical Methods -- Recent Advances in ARCH Modelling -- Intermittency, Long-Memory and Financial Returns -- The Spectrum of Euro-Dollar -- Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes -- Adaptive Detection of Multiple Change-Points in Asset Price Volatility -- Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory -- Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series -- Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm -- Economic Models -- A Nonlinear Structural Model for Volatility Clustering -- Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models -- The Microeconomic Foundations of Instability in Financial Markets -- A Minimal Noise Trader Model with Realistic Time Series Properties -- Long Memory and Hysteresis.