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Volatility and Time Series Econometrics
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Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Tim Bollerslev, Jeffrey Russell, and Mark Watson

Abstract

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 of 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 the 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 fiel ... More

Keywords: volatility, time series econometrics, Robert Engle, Nobel Prize, forecasting, volatility modelling, financial econometrics, urban economics, autoregressive conditional heteroskedasticity, financial variables

Bibliographic Information

Print publication date: 2010 Print ISBN-13: 9780199549498
Published to Oxford Scholarship Online: May 2010 DOI:10.1093/acprof:oso/9780199549498.001.0001

Authors

Affiliations are at time of print publication.

Tim Bollerslev, editor
Professor of Economics and Finance, Duke University

Jeffrey Russell, editor
Professor of Econometrics and Statistics, Edited University of Chicago Booth School of Economics
Author Webpage

Mark Watson, editor
Professor of Economics and Public Affairs, Princeton University
Author Webpage

Contents

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Front Matter

4 Modeling UK Inflation Uncertainty, 1958–2006

Gianna Boero, Jeremy Smith, and Kenneth F. Wallis

5 Macroeconomics and ARCH

James D. Hamilton

7 Measuring Downside Risk – Realized Semivariance*

Ole E. Barndorff‐Nielsen, Silja Kinnebrock, and Neil Shephard

9 An Automatic Test of Super Exogeneity*

David F. Hendry and Carlos Santos

13 Volatility Regimes and Global Equity Returns*

Luis Catão and Allan Timmermann

14 A Multifactor, Nonlinear, Continuous‐Time Model of Interest Rate Volatility*

Jacob Boudoukh, Christopher Downing, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw

16 A New Model for Limit Order Book Dynamics*

Jeffrey R. Russell and Taejin Kim

End Matter