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
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 field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize-winning work. Engle's work has had its most profound effect on the modelling of financial variables, and several of the chapters use newly developed time series methods to study the behaviour of financial variables. Each of the 16 chapters may be read in isolation, but they all build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
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
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