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

Tim Bollerslev, Jeffrey Russell, and Mark Watson (eds)

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.001.0001
Subject:
Economics and Finance, Econometrics

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 of the leading academic researchers ... More


Glossary to ARCH (GARCH * )

Bollerslev Tim

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

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0008
Subject:
Economics and Finance, Econometrics

This chapter provides an alternative and easy-to-use encyclopedic-type reference guide to the long list of ARCH acronyms. Comparing the length of this list to the list of general Acronyms in Time ... More


A History of Econometrics at the University of California, San Diego: A Personal Viewpoint

Clive W.J. Granger

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

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0001
Subject:
Economics and Finance, Econometrics

This chapter presents the author's account of a history of econometrics at the University of California, San Diego (UCSD), tracing his arrival at UCSD and how he recruited a young Rob Engle to join ... More


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