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Volatility and Time Series Econometrics

Essays in Honor of Robert F. Engle

Livre relié | Anglais | Advanced Texts in Econometrics
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Description

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.

Spécifications

Parties prenantes

Editeur:

Contenu

Nombre de pages :
432
Langue:
Anglais
Collection :

Caractéristiques

EAN:
9780199549498
Date de parution :
19-04-10
Format:
Livre relié
Format numérique:
Ongenaaid / garenloos gebonden
Dimensions :
178 mm x 246 mm
Poids :
907 g

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