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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

Published
Oxford ; New York : Oxford University Press, 2010.
Physical Description
xi, 419 pages : illustrations, maps ; 26 cm.
Additional Creators
Engle, R. F. (Robert F.), Watson, Mark W., Bollerslev, Tim, 1958-, and Russell, Jeffrey R.

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Contents
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 ... [et al.] --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.
Subject(s)
ISBN
9780199549498 (hbk.)
0199549494 (hbk.)
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 6945639