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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


Applications to Financial Series

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print:
1997
Published Online:
November 2003
ISBN:
9780198774754
eISBN:
9780191596339
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774753.003.0006
Subject:
Economics and Finance, Econometrics

Applications to estimation of Stochastic Differential Equations, Stochastic Volatility Models, and Factor Models are considered. The methods used are Indirect Inference, Simulated Moments (based on ... More


Practical Volatility and Correlation Modeling for Financial Market Risk Management

Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold

in The Risks of Financial Institutions

Published in print:
2007
Published Online:
February 2013
ISBN:
9780226092850
eISBN:
9780226092980
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092980.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter demonstrates how important it is to recognize time-varying volatility and correlation in value at risk estimation. It also illustrates how new techniques in multivariate time-series ... More


Special cases of nonlinear and non-Gaussian models

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0009
Subject:
Mathematics, Probability / Statistics

This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important ... More


Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets

Cristina Amado and Helinä Laakkonen

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0006
Subject:
Economics and Finance, Econometrics

The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and ... More


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