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Volatility and time series econometrics : essays in honor of Robert F. Engle / [edited by] Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson.

Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford ; Oxford University Press, 2010.Description: xi, 419 p. : ill., maps ; 26 cmISBN:
  • 9780199549498 (hbk.)
Subject(s): DDC classification:
  • 330.015195 23 B691
Contents:
1. A history of econometrics at the University of California, San Diego: a personal viewpoint / Clive W.J. Granger -- 2. The long-run shift-share: modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson -- 3. The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson -- 4. Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis -- 5. Macroeconomics and ARCH / James D. Hamilton -- 6. Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz -- 7. Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard -- 8. Glossary to ARCH (GARCH) -- 9. An automatic test of super exogeneity / David F. Hendry and Carlos Santos -- 10. Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann -- 11. Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas -- 12. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli -- 13. Volatility regimes and global equity returns / Luis Catão and Allan Timmermann -- 14. A multifactor, nonlinear, continuous-time model of interest rate volatility / Jacob Boudoukh [and others] -- 15. Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski -- 16. A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim.
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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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 B691 (Browse shelf(Opens below)) Available 137323
Total holds: 0

Includes bibliographical references and index.

1. A history of econometrics at the University of California, San Diego: a personal viewpoint / Clive W.J. Granger --
2. The long-run shift-share: modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson --
3. The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson --
4. Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis --
5. Macroeconomics and ARCH / James D. Hamilton --
6. Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz --
7. Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard --
8. Glossary to ARCH (GARCH) --
9. An automatic test of super exogeneity / David F. Hendry and Carlos Santos --
10. Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann --
11. Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas --
12. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli --
13. Volatility regimes and global equity returns / Luis Catão and Allan Timmermann --
14. A multifactor, nonlinear, continuous-time model of interest rate volatility / Jacob Boudoukh [and others] --
15. Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski --
16. A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim.

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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