عنوان

Volatility and time series econometrics :

(Number (ISBN

0199549494

(Number (ISBN

9780199549498

Number

b772197

Title Proper

Volatility and time series econometrics :

General Material Designation

[Book]

Other Title Information

essays in honor of Robert F. Engle /

First Statement of Responsibility

edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Oxford University Press,

Date of Publication, Distribution, etc.

2010.

Specific Material Designation and Extent of Item

xi, 419 pages :

Other Physical Details

illustrations, maps ;

Dimensions

26 cm.

Series Title

Advanced texts in econometrics

Text of Note

Includes bibliographical references and index.

Text of Note

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.

0

Econometrics.

Time-series analysis.

Aufsatzsammlung.

Econometrics.

Econometrics.

Econométrie.

Ökonometrie.

Ökonometrie.

Science économique.

Time series.

Time-series analysis.

Volatilität.

Volatilität.

Number

Edition

Class number

Book number

Bollerslev, Tim,1958-

Engle, R. F., (Robert F.)

Russell, Jeffrey R.

Watson, Mark W.

Date of Transaction

20201206175931.0

Electronic name

[Book]

Y