Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
- Bollerslev, Tim(Professor of Economics and Finance, Duke University)Russell, Jeffrey(Professor of Econometrics and Statistics, University of Chicago Booth School of Economics)Watson, Mark(Professor of Economics and Public Affairs, Princeton University)Registered editor(s):
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
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|This book is provided by Oxford University Press in its series OUP Catalogue with number 9780199549498 and published in 2010.|
|Contact details of provider:|| Web page: http://www.oup.com/|
|Order Information:||Web: http://www.oup.com/|
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011.
"Financial Risk Measurement for Financial Risk Management,"
PIER Working Paper Archive
11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(4), pages 637-668, September.
- Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013.
"The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, 09.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
- Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
- Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011.
"Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
[Modeling Mexican stock retu," MPRA Paper 36872, University Library of Munich, Germany.
- Andrew Stuart Duncan & Alain Kabundi, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
When requesting a correction, please mention this item's handle: RePEc:oxp:obooks:9780199549498. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Economics Book Marketing)
If references are entirely missing, you can add them using this form.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers various economics topics
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed