Volatility and Time Series Econometrics Essays in Honor of Robert Engle 1st Edition by Mark Waston, Tim Bollerslev, Jeffrey Rusell 9780199549498 0199549494
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Product details:
ISBN 10: 0199549494
ISBN 13: 9780199549498
Author: Mark W. Waston, Tim Bollerslev, Jeffrey R. Rusell
Table of contents:
1 A History of Econometrics at the University of California, San Diego: A Personal Viewpoint
1 Introduction
2 The Founding Years: 1974–1984
3 The Middle Years: 1985–1993
4 The Changing Years: 1994–2003
5 Graduate students
6 Visitors
7 Wives
8 The Econometrics Research Project
9 The UCSD Economics Department
10 The way the world of econometrics has changed
11 Visitors and students
2 The Long Run Shift-Share: Modeling the Sources of Metropolitan Sectoral Fluctuations
1 Introduction
2 A general model and some specializations
3 Data and evidence
4 Summary and conclusions
3 The Evolution of National and Regional Factors in US Housing Construction
1 Introduction
2 The state building permits data set
3 The DFM-SV model
4 Empirical results
5 Discussion and conclusions
4 Modeling UK Inflation Uncertainty, 1958–2006
1 Introduction
2 UK inflation and the policy environment
3 Re-estimating the original ARCH model
4 The nonstationary behavior of UK inflation
5 Measures of inflation forecast uncertainty
6 Uncertainty and the level of inflation
7 Conclusion
5 Macroeconomics and ARCH
1 Introduction
2 GARCH and inference about the mean
3 Application 1: Measuring market expectations of what the Federal Reserve is going to do next
4 Application 2: Using the Taylor Rule to summarize changes in Federal Reserve policy
5 Conclusions
6 Macroeconomic Volatility and Stock Market Volatility, World-Wide
1 Introduction
2 Data
3 Empirical results
4 Variations and extensions
5 Concluding remark
7 Measuring Downside Risk – Realized Semivariance
1 Introduction
2 Econometric theory
3 More empirical work
4 Additional remarks
5 Conclusions
8 Glossary to ARCH (GARCH)
9 An Automatic Test of Super Exogeneity
1 Introduction
2 Detectable shifts
3 Super exogeneity in a regression context
4 Impulse saturation
5 Null rejection frequency of the impulse-based test
6 Potency at stage 1
7 Super-exogeneity failure
8 Co-breaking based tests
9 Simulating the potencies of the automatic super-exogeneity test
10 Testing super exogeneity in UK money demand
11 Conclusion
10 Generalized Forecast Errors, a Change of Measure, and Forecast Optimality
1 Introduction
2 Testable implications under general loss functions
3 Properties under a change of measure
4 Numerical example and an application to US inflation
5 Conclusion
11 Multivariate Autocontours for Specification Testing in Multivariate GARCH Models
1 Introduction
2 Testing methodology
3 Monte Carlo simulations
4 Empirical applications
5 Concluding remarks
12 Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR
1 Introduction
2 The MQ-CAViaR process and model
3 MQ-CAViaR estimation: Consistency and asymptotic normality
4 Consistent covariance matrix estimation
5 Quantile-based measures of conditional skewness and kurtosis
6 Application and simulation
7 Conclusion
13 Volatility Regimes and Global Equity Returns
1 Econometric methodology
2 Data
3 Global stock return dynamics
4 Variance decompositions
5 Economic interpretation: Oil, money, and tech shocks
6 Implications for global portfolio allocation
7 Conclusion
14 A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
1 Introduction
2 The stochastic behavior of interest rates: Some evidence
3 Estimation of a continuous-time multifactor diffusion process
4 A generalized Longsta. and Schwartz (1992) model
5 Conclusion
15 Estimating the Implied Risk-Neutral Density for the US Market Portfolio
1 Introduction
2 Review of the literature
3 Extracting the risk-neutral density from options prices, in theory
4 Extracting a risk-neutral density from options market prices, in practice
5 Adding tails to the risk-neutral density
6 Estimating the risk-neutral density for the S&P 500 from S&P 500 index options
7 Concluding comments
16 A New Model for Limit Order Book Dynamics
1 Introduction
2 The model
3 Model estimation
4 Data
5 Results
6 Conclusions
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Tags: Mark Waston, Tim Bollerslev, Jeffrey Rusell, Volatility