Volatility and time series econometrics

by R. F. Engle, Mark W. Watson, Tim Bollerslev, Jeffrey R. Russell. Mark W. Watson, Tim Bollerslev, Jeffrey R. Russell.
 
Citation
Title:
Volatility and time series econometrics
Author:
R. F. Engle, Mark W. Watson, Tim Bollerslev, Jeffrey R. Russell.
Editor:
Mark W. Watson, Tim Bollerslev, Jeffrey R. Russell.
City:
Publisher:
Oxford University Press
Year:
2010
Volume:
No. of Volumes:
Edition:
Pages:
419
Series Volume:
Series Editor:
Series Title:
Advanced texts in econometrics
Translator:
Language:
English
URL:
DOI:
LCCN:
2009041065
OCLC Number:
License
Select License
ISBN:
0199549494
Last Updated:
July 15th, 2011
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 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 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 behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.


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AlibrisNew. Glued binding. Cloth over boards. With dust jacket. 419 p. Contains: Tables, black & white, Figures. Advanced Texts in Econometrics (Hardcover). In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.US$ 138.94 US$ 3.50US$ 142.44
AlibrisNew. Glued binding. Cloth over boards. With dust jacket. 419 p. Contains: Tables, black & white, Figures. Advanced Texts in Econometrics (Hardcover).US$ 138.94 US$ 3.50US$ 142.44
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