Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

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 simples and several of the chapters use newly developed time series methods to study the behavior of financial simples. 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.

Book details

• Author: Tim Bollerslev; Jeffrey Russell
• Publisher: OUP Oxford
• Edition: 1st Edition
• eText ISBN: 9780191572197
• Print ISBN: 9780199549498
• Format: Fixed Layout
• Language: en