Volatility and time series econometrics :
xi, 419 p. : ill., maps ; 26 cm. - (Advanced texts in econometrics ) Content notes : 1. A history of econometrics at the University of California, San Diego: a personal viewpoint / Clive W.J. Granger --
2. The long-run shift-share: modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson --
3. The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson --
4. Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis --
5. Macroeconomics and ARCH / James D. Hamilton --
6. Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz --
7. Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard --
8. Glossary to ARCH (GARCH) --
9. An automatic test of super exogeneity / David F. Hendry and Carlos Santos --
10. Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann --
11. Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas --
12. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli --
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 [and others] --
15. Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski --
16. A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim. Time-series analysis. Russell, Jeffrey R.,Watson, Mark W.,Engle, Robert F.
