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" Volatility and time series econometrics : "
edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson.
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BL
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| Record Number
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1017827
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| Doc. No
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b772197
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| Title & Author
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Volatility and time series econometrics : : essays in honor of Robert F. Engle /\ edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson.
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| Publication Statement
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Oxford ;New York :: Oxford University Press,, 2010.
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| Series Statement
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Advanced texts in econometrics
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| Page. NO
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xi, 419 pages :: illustrations, maps ;; 26 cm.
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| ISBN
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0199549494
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: 9780199549498
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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A history of econometrics at the University of California, San Diego: a personal viewpoint / Clive W.J. Granger -- The long-run shift-share: modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson -- The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson -- Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis -- Macroeconomics and ARCH / James D. Hamilton -- Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz -- Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard -- An automatic test of super exogeneity / David F. Hendry and Carlos Santos -- Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann -- Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas -- Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli -- Volatility regimes and global equity returns / Luis Catão and Allan Timmermann -- A multifactor, nonlinear, continuous-time model of interest rate volatility / Jacob Boudoukh [and others] --Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski -- A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim.
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| Subject
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Econometrics.
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Time-series analysis.
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Econometrics.
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Econometrics.
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Econométrie.
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Ökonometrie.
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Science économique.
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Time series.
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Time-series analysis.
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Volatilität.
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Aufsatzsammlung.
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Ökonometrie.
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Volatilität.
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| Dewey Classification
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330.01/51955
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| LC Classification
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HB139.V65 2010
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| Added Entry
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Bollerslev, Tim,1958-
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Engle, R. F., (Robert F.)
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Russell, Jeffrey R.
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Watson, Mark W.
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