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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.
| ISBN | 0199549494 | | Pages | 432 | | ISBN13 | 9780199549498
(What's this?) | | Weight (grammes) | 908 | | Publisher | Oxford University Press | | Published in | Oxford | | Imprint | Oxford University Press | | Series title | Advanced Texts in Econometrics | | Format | Hardback | | Height (mm) | 253 | | Publication date | 11 Feb 2010 | | Width (mm) | 180 | | DEWEY | 330.015195 | | Spine width (mm) | 28 | | DEWEY edition | DC22 | | Academic level | Postgraduate, Professional / Scholarly |
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| | | Introduction | | | | 1 | | A History of Econometrics at the University of California, San Diego: A Personal Viewpoint by Clive W. J. Granger | | 1 | | 2 | | The Long Run Shift-Share: Modeling the Sources of Metropolitan Sectoral Fluctuations by N. Edward Coulson | | 13 | | 3 | | The Evolution of National and Regional Factors in US Housing Construction by Jamas H. Stock and Mark W. Watson | | 35 | | 4 | | Modeling UK Inflation Uncertainty, 1958-2006 by Gianna Boero and Jeremy Smith and Kenneth F. Wallis | | 62 | | 5 | | Macroeconomics and ARCH by James D. Hamilton | | 79 | | 6 | | Macroeconomic Volatility and Stock Market Volatility, World-Wide by Francis X. Diebold and Kamil Yilmaz | | 97 | | 7 | | Measuring Downside Risk - Realized Semi-variance by Ole E. Barndorff-Nielsen and Silja Kinnebrock and Neil Shephard | | 117 | | 8 | | Glossary to ARCH (GARCH) by Tim Bollerslev | | 137 | | 9 | | An Automatic Test of Super Exogeneity by David F. Hendry and Carlos Santos | | 164 | | 10 | | Generalized Forecast Errors, a Change of Measure, and Forecast Optimality by Andrew J. Patton and Allan Timmermann | | 194 | | 11 | | Multivariate Autocontours for Specification Testing in Multivariate GARCH Models by Gloria Gonzalez-Rivera and Emre Yoldas | | 213 | | 12 | | Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR by Halbert While and Tae-Hwan Kim and Simone Manganelli | | 231 | | 13 | | Volatility Regimes and Global Equity Returns by Luis Catao and Allan Timmermann | | 257 | | 14 | | A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility by Jacob Boudoukh and Christopher Downing and Matthew Richardson and Richard Stanton and Robert F. Whitelaw | | 296 | | 15 | | Estimating the Implied Risk-Neutral Density for the US Market Portfolio by Stephen Figlewski | | 323 | | 16 | | A New Model for Limit Order Book Dynamics by Jeffrey R. Russell and Taejin Kim | | 354 | | | | Bibliography | | 365 | | | | Index | | 401 |
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