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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


Macroeconomics and ARCH

James D. Hamilton

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/9780199549498.003.0005
Subject:
Economics and Finance, Econometrics

Studying volatility has traditionally been a much lower priority for macroeconomists than for researchers in financial markets because the former's interest is primarily in describing the first ... More


Modeling UK Inflation Uncertainty, 1958–2006

Gianna Boero, Jeremy Smith, and Kenneth F. Wallis

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/9780199549498.003.0004
Subject:
Economics and Finance, Econometrics

The empirical application in Engle's original autoregressive conditional heteroskedastic (ARCH) paper was to UK inflation uncertainty. This chapter tests the external validity of Engle's conclusion ... More


Measurement and Modelling of Volatility

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0018
Subject:
Economics and Finance, Econometrics

This chapter discusses volatility measurement and modelling. It covers realized volatility, models of conditional variance, econometric approaches, testing for autoregressive conditional ... More


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