Volatility and time series econometrics : essays in honor of Robert F. Engle (eBook, 2010) [WorldCat.org]
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Volatility and time series econometrics : essays in honor of Robert F. Engle

Author: R F Engle; Mark W Watson; Tim Bollerslev; Jeffrey R Russell
Publisher: Oxford : Oxford University Press, 2010. ©2010
Series: Advanced texts in econometrics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This volume celebrates and develops the work of Nobel Laureate Robert Engle. It includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Volatility and time series econometrics.
Oxford ; New York : Oxford University Press, 2010
(DLC) 2009041065
(OCoLC)457010486
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: R F Engle; Mark W Watson; Tim Bollerslev; Jeffrey R Russell
ISBN: 9780191572197 0191572195
OCLC Number: 638329010
Description: 1 online resource (xi, 419 pages) : illustrations, maps
Contents: A history of econometrics at the University of California, San Diego : a personal viewpoint / Clive W.J. Granger --
The long-run shift-share : modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson --
The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson --
Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis --
Macroeconomics and ARCH / James D. Hamilton --
Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz --
Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard --
Glossary to ARCH (GARCH) / Tim Bollerslev --
An automatic test of super exogeneity / David F. Hendry and Carlos Santos --
Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann --
Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas --
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli --
Volatility regimes and global equity returns / Luis Catão and Allan Timmermann --
A multifactor, nonlinear, continuous-time model of interest rate volatility / Jacob Boudoukh [and others] --
Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski --
A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim.
Series Title: Advanced texts in econometrics.
Responsibility: edited by Tim Bollerslev, Jeffrey R. Russell and Mark W. Watson.

Abstract:

A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time  Read more...

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