Volatility and time series econometrics : essays in honor of Robert F. Engle / edited by Tim Bollerslev, Jeffrey R. Russell and Mark W. Watson.

Format:

Book

Contributor:

Engle, R. F. (Robert F.)

Watson, Mark W.

Bollerslev, Tim, 1958-

Russell, Jeffrey R.

Series:

Advanced texts in econometrics.

Advanced texts in econometrics

Language:

English

Subjects (All):

Econometrics.

Time-series analysis.

Physical Description:

1 online resource (432 p.)

Place of Publication:

Oxford ; New York : Oxford University Press, 2010.

Language Note:

English

Summary:

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 fin

Contents:

Contents; Introduction; 1 A History of Econometrics at the University of California, San Diego: A Personal Viewpoint; 1 Introduction; 2 The Founding Years: 1974-1984; 3 The Middle Years: 1985-1993; 4 The Changing Years: 1994-2003; 5 Graduate students; 6 Visitors; 7 Wives; 8 The Econometrics Research Project; 9 The UCSD Economics Department; 10 The way the world of econometrics has changed; 11 Visitors and students; 2 The Long Run Shift-Share: Modeling the Sources of Metropolitan Sectoral Fluctuations; 1 Introduction; 2 A general model and some specializations; 3 Data and evidence

4 Summary and conclusions3 The Evolution of National and Regional Factors in US Housing Construction; 1 Introduction; 2 The state building permits data set; 3 The DFM-SV model; 4 Empirical results; 5 Discussion and conclusions; 4 Modeling UK Inflation Uncertainty, 1958-2006; 1 Introduction; 2 UK inflation and the policy environment; 3 Re-estimating the original ARCH model; 4 The nonstationary behavior of UK inflation; 5 Measures of inflation forecast uncertainty; 6 Uncertainty and the level of inflation; 7 Conclusion; 5 Macroeconomics and ARCH; 1 Introduction

2 GARCH and inference about the mean3 Application 1: Measuring market expectations of what the Federal Reserve is going to do next; 4 Application 2: Using the Taylor Rule to summarize changes in Federal Reserve policy; 5 Conclusions; 6 Macroeconomic Volatility and Stock Market Volatility, World-Wide; 1 Introduction; 2 Data; 3 Empirical results; 4 Variations and extensions; 5 Concluding remark; 7 Measuring Downside Risk - Realized Semivariance; 1 Introduction; 2 Econometric theory; 3 More empirical work; 4 Additional remarks; 5 Conclusions; 8 Glossary to ARCH (GARCH)

9 An Automatic Test of Super Exogeneity1 Introduction; 2 Detectable shifts; 3 Super exogeneity in a regression context; 4 Impulse saturation; 5 Null rejection frequency of the impulse-based test; 6 Potency at stage 1; 7 Super-exogeneity failure; 8 Co-breaking based tests; 9 Simulating the potencies of the automatic super-exogeneity test; 10 Testing super exogeneity in UK money demand; 11 Conclusion; 10 Generalized Forecast Errors, a Change of Measure, and Forecast Optimality; 1 Introduction; 2 Testable implications under general loss functions; 3 Properties under a change of measure

4 Numerical example and an application to US inflation5 Conclusion; 11 Multivariate Autocontours for Specification Testing in Multivariate GARCH Models; 1 Introduction; 2 Testing methodology; 3 Monte Carlo simulations; 4 Empirical applications; 5 Concluding remarks; 12 Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR; 1 Introduction; 2 The MQ-CAViaR process and model; 3 MQ-CAViaR estimation: Consistency and asymptotic normality; 4 Consistent covariance matrix estimation; 5 Quantile-based measures of conditional skewness and kurtosis

6 Application and simulation

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

Description based on publisher supplied metadata and other sources.

ISBN:

9786612490521

0-19-157219-5

1-282-49052-4

OCLC:

550568606