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 ...
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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 in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to the 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 behaviour of financial variables. Each of the 16 chapters may be read in isolation, but they all build on and relate to the seminal work by Nobel Laureate Robert F. Engle.Less
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 in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to the 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 behaviour of financial variables. Each of the 16 chapters may be read in isolation, but they all build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Takatoshi Ito and Anne O. Krueger
- Published in print:
- 2001
- Published Online:
- February 2013
- ISBN:
- 9780226386768
- eISBN:
- 9780226387017
- Item type:
- chapter
- Publisher:
- University of Chicago Press
- DOI:
- 10.7208/chicago/9780226387017.003.0001
- Subject:
- Economics and Finance, International
This introductory chapter begins with a brief discussion of the growth in private capital flows between nations since the 1960s. It suggests that in light of the financial crises taking place in Asia ...
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This introductory chapter begins with a brief discussion of the growth in private capital flows between nations since the 1960s. It suggests that in light of the financial crises taking place in Asia and other countries over the past several years, where the behavior of private capital flows was deemed by most to be an important part of the story of crises, understanding the macroeconomic impact of capital flows and their behavior has become a central concern of policy makers everywhere. This volume addresses issues pertinent to understanding the macroeconomic dimensions of capital flows, the origins of the 1990s-style crises, the linkages between the foreign exchange variables and the financial variables, and the key questions associated with efforts to solve the crises. An overview of the subsequent chapters is also presented.Less
This introductory chapter begins with a brief discussion of the growth in private capital flows between nations since the 1960s. It suggests that in light of the financial crises taking place in Asia and other countries over the past several years, where the behavior of private capital flows was deemed by most to be an important part of the story of crises, understanding the macroeconomic impact of capital flows and their behavior has become a central concern of policy makers everywhere. This volume addresses issues pertinent to understanding the macroeconomic dimensions of capital flows, the origins of the 1990s-style crises, the linkages between the foreign exchange variables and the financial variables, and the key questions associated with efforts to solve the crises. An overview of the subsequent chapters is also presented.
