MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02801cam a2200289 a 4500 |
| 001 - CONTROL NUMBER |
|---|
| control field |
137323 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20170105104842.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
091016s2010 enkab b 011 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9780199549498 (hbk.) |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
ISI Library |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| Edition number |
23 |
| Item number |
B691 |
| 245 00 - TITLE STATEMENT |
|---|
| Title |
Volatility and time series econometrics : |
| Remainder of title |
essays in honor of Robert F. Engle / |
| Statement of responsibility, etc |
[edited by] Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Oxford ; |
| Name of publisher, distributor, etc |
Oxford University Press, |
| Date of publication, distribution, etc |
2010. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xi, 419 p. : |
| Other physical details |
ill., maps ; |
| Dimensions |
26 cm. |
| 490 0# - SERIES STATEMENT |
|---|
| Series statement |
Advanced texts in econometrics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1. A history of econometrics at the University of California, San Diego: a personal viewpoint / Clive W.J. Granger --<br/>2. The long-run shift-share: modeling the sources of metropolitan sectoral fluctuations / N. Edward Coulson --<br/>3. The evolution of national and regional factors in US housing construction / James H. Stock and Mark W. Watson --<br/>4. Modeling UK inflation uncertainty, 1958-2006 / Gianna Boero, Jeremy Smith, and Kenneth F. Wallis --<br/>5. Macroeconomics and ARCH / James D. Hamilton --<br/>6. Macroeconomic volatility and stock market volatility, world-wide / Francis X. Diebold and Kamil Yilmaz --<br/>7. Measuring downside risk- realized semivariance / Ole E. Barndorff-Nielsen, Silja Kinnebrock, and Neil Shephard --<br/>8. Glossary to ARCH (GARCH) --<br/>9. An automatic test of super exogeneity / David F. Hendry and Carlos Santos --<br/>10. Generalized forecast errors, a change of measure, and forecast optimality / Andrew J. Patton and Allan Timmermann --<br/>11. Multivariate autocontours for specification testing in multivariate GARCH models / Gloria González-Rivera and Emre Yoldas --<br/>12. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR / Halbert White, Tae-Hwan Kim, and Simone Manganelli --<br/>13. Volatility regimes and global equity returns / Luis Catão and Allan Timmermann --<br/>14. A multifactor, nonlinear, continuous-time model of interest rate volatility / Jacob Boudoukh [and others] --<br/>15. Estimating the implied risk-neutral density for the US market portfolio / Stephen Figewski --<br/>16. A new model for limit order book dynamics / Jeffrey R. Russell and Taejin Kim. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
This volume celebrates and develops the work of Nobel Laureate Robert Engle. It includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Econometrics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Time-series analysis. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Bollerslev, Tim, |
| Relator term |
editor |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Russell, Jeffrey R., |
| Relator term |
editor |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Watson, Mark W., |
| Relator term |
editor |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Engle, Robert F. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
