Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Hardcover | April 4, 2010

EditorMark Watson, Tim Bollerslev, Jeffrey Russell

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Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financialeconometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas ofEngle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they allimportantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.

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Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financialeconometrics and urban economics, along with historic...

Mark Watson is the Howard Harrison and Gabrielle Snyder Beck Professor of Economics and Public Affairs at Princeton University and a research associate at the National Bureau of Economic Research. He is a fellow of the American Academy of Arts and Sciences and of the Econometric Society. His research focuses on time-series econometric...

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Format:HardcoverDimensions:414 pagesPublished:April 4, 2010Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199549494

ISBN - 13:9780199549498

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Table of Contents

Introduction1. Ole E. Barndorff-Nielsen, Solja Kinnebrock and Neil Shephard: Measuring Downside Risk- Realized Semivariance2. Gianna Boero, Jeremy Smith and Kenneth F. Wallis: Modelling UK Inflation Uncertainty, 1958-20063. Tim Bollerslev: Glossary to ARCH4. Jacob Boudoukh, Christopher Downing, Matthew Richardson, Richard Stanton and Robert F. Whitelaw: A Multifactor Nonlinear, Continuous-time Model of Interest Rate Volatility5. Luis Catao and Allan Timmerman: Volatility Regimes and Global Equity Returns6. N. Edward Coulson: The Long Run Shift-Share: Modelling the Sources of Metropolitan Sectoral Fluctuations7. Francis X. Diebold and Kamil Yilmaz: Macroeconomic Volatility and Stock Market Volatility, Worldwide8. Stephen Figlewski: Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio9. Gloria Gonzalez-Rivera and Emre Yoldas: Multivariate Autocontours for Specification Testing in Multivariate GARCH Models10. Clive W.J. Granger: A History of Econometrics at the University of California, San Diego, A Personal Viewpoint11. James D. Hamilton: Macroeconomics and ARCH12. David F. Hendry and Carlos Santos: An Automatic test of Super Exogeneity13. James H. Stock and Mark W. Watson: Changes in the Volatility of Residential Investment in the United States14. Andrew J. Patton and Allan Timmerman: Generalized Forecast Errors, A Change of Measure and Forecast Optimality Conditions15. Jeffrey Russell: Trade by Trade, Financial Transaction Price Dynamics and Limit Order Placement16. Halbert White, Tae-Hwan Kim and Simone Manganelli: Modelling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR