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Produktbild: Volatility and Time Series Econometrics

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

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Beschreibung

A volume that 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

Beschreibung

A volume that 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

Produktdetails

Einband

Gebundene Ausgabe
Erscheinungsdatum

01.04.2010
Abbildungen

92 Figures, 70 Tables
Herausgeber Jeffrey Russell + weitere

Produktdetails

Einband

Gebundene Ausgabe
Erscheinungsdatum

01.04.2010
Abbildungen

92 Figures, 70 Tables
Herausgeber
Verlag Oxford Academic
Seitenzahl

432
Maße (L/B/H)

25/17,5/2,8 cm
Gewicht

920 g
Sprache

Englisch
ISBN

978-0-19-954949-8
Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Volatility and Time Series Econometrics

    • 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