Volatility and Time Series Econometrics Essays in Honor of Robert Engle (Advanced Texts in Econometrics) (9780199549498) Tim Bollerslev, Jeffrey Russell, Mark Watson

Product Details:

Publisher: Oxford University Press, USA; 1 edition (April 19, 2010)
Language: English
ISBN-10: 0199549494
ISBN-13: 978-0199549498

Product Dimensions:

9.8 x 6.7 x 1.3 inches
Shipping Weight: 2 pounds (View shipping rates and policies)

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics adam lyons torrent. 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 adam lyons torrent. 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 adam lyons torrent. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle’s Nobel Prize winning work adam lyons torrent. 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 SeriesAdvanced 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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GO Volatility and Time Series Econometrics Essays in Honor of Robert Engle (Advanced Texts in Econometrics) (9780199549498) Tim Bollerslev, Jeffrey Russell, Mark Watson

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