000			02801cam a2200289 a 4500
001			137323
003			ISI Library, Kolkata
005			20170105104842.0
008			091016s2010 enkab b 011 0 eng
020			_a9780199549498 (hbk.)
040			_aISI Library
082	0	4	_a330.015195 _223 _bB691
245	0	0	_aVolatility and time series econometrics : _bessays in honor of Robert F. Engle / _c[edited by] Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson.
260			_aOxford ; _bOxford University Press, _c2010.
300			_axi, 419 p. : _bill., maps ; _c26 cm.
490	0		_aAdvanced texts in econometrics
504			_aIncludes bibliographical references and index.
505	0		_a1. 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.
520			_aThis 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	_aEconometrics.
650		0	_aTime-series analysis.
700	1		_aBollerslev, Tim, _eeditor
700	1		_aRussell, Jeffrey R., _eeditor
700	1		_aWatson, Mark W., _eeditor
700	1		_aEngle, Robert F.
942			_2ddc _cBK
999			_c421272 _d421272