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

Edited by Tim Bollerslev · Jeffrey Russell · Mark Watson
Oxford University Press February 2010

Specifications

ISBN-13
9780199549498
Publisher
Oxford University Press
Publication
February 2010
Format
Hardback , 432 pages
Jurisdiction
International ? Countri(es) for reference only

Details

  • Celebrates the extraordinary career and seminal influence of Nobel Laureate Robert F. Engle and builds on his work
  • Contains 16 original research contributions by some the leading academic researchers in the field
  • Contributions span the range of Engle's career covering topics such as urban economics and housing, the ARCH model and time varying volatility, dynamic specification and forecasting, and finance.
  • Opening chapter by Clive Granger provides a highly accessible history of econometrics at UCSD

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.

Readership: Academics, researchers, graduates and advanced undergraduates of econometrics, particularly academics and practitioners working in the areas of macro economic forecasting, time series econometrics and empirical finance.

Table of Contents

Introduction
1: Ole E. Barndorff-Nielsen, Solja Kinnebrock and Neil Shephard: Measuring Downside Risk- Realized Semivariance
2: Gianna Boero, Jeremy Smith and Kenneth F. Wallis: Modelling UK Inflation Uncertainty, 1958-2006
3: Tim Bollerslev: Glossary to ARCH
4: Jacob Boudoukh, Christopher Downing, Matthew Richardson, Richard Stanton and Robert F. Whitelaw: A Multifactor Nonlinear, Continuous-time Model of Interest Rate Volatility
5: Luis Catão and Allan Timmerman: Volatility Regimes and Global Equity Returns
6: N. Edward Coulson: The Long Run Shift-Share: Modelling the Sources of Metropolitan Sectoral Fluctuations
7: Francis X. Diebold and Kamil Yilmaz: Macroeconomic Volatility and Stock Market Volatility, Worldwide
8: Stephen Figlewski: Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio
9: Gloria González-Rivera and Emre Yoldas: Multivariate Autocontours for Specification Testing in Multivariate GARCH Models
10: Clive W.J. Granger: A History of Econometrics at the University of California, San Diego, A Personal Viewpoint
11: James D. Hamilton: Macroeconomics and ARCH
12: David F. Hendry and Carlos Santos: An Automatic test of Super Exogeneity
13: James H. Stock and Mark W. Watson: Changes in the Volatility of Residential Investment in the United States
14: Andrew J. Patton and Allan Timmerman: Generalized Forecast Errors, A Change of Measure and Forecast Optimality Conditions
15: Jeffrey Russell: Trade by Trade, Financial Transaction Price Dynamics and Limit Order Placement
16: Halbert White, Tae-Hwan Kim and Simone Manganelli: Modelling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

About the Author

Edited by Tim Bollerslev, Professor of Economics and Finance, Duke University, Jeffrey Russell, Professor of Econometrics and Statistics, University of Chicago Booth School of Economics, and Mark Watson, Professor of Economics and Public Affairs, Princeton University

Contributors: 
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 Catão, 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 González-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

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