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

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, financial econometrics 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 of Engle'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 all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle. Contributors to this volume - Mark W. Watson, Princeton University Tim Bollerslev, Duke University Jeffrey Russell, University of Chicago Ole E. Barndorff-Nielsen, University of Aarhus Solja Kinnebrock, University of Oxford Neil Shephard, University of Oxford Gianna Boero, University of Warwick Jeremy Smith, University of Warwick Kenneth F. Wallis, University of Warwick Jacob Boudoukh, Arison School of Business, IDC Christopher Downing, Barclays Global Investors Matthew Richardson, New York University Richard Stanton, University of California, Berkeley Robert F. Whitelaw, New York University Luis Catao, IADB and IMF Allan Timmerman, University of California, San Diego N. Edward Coulson, Pennsylvania State University Francis X. Diebold, University of Pennsylvania Kamil Yilmaz, Koc University Stephen Figlewski, New York University Gloria Gonzalez-Rivera, University of California, Riverside Emre Yoldas, University of California, Riverside Clive W.J. Granger, University of California, San Diego James D. Hamilton, University of California, San Diego David F. Hendry, University of Oxford Carlos Santos, Portuguese Catholic University James H. Stock, Harvard University Andrew J. Patton, University of Oxford Halbert White, University of California, San Diego Tae-Hwan Kim, Yonsei University Simone Manganelli, European Central Bank