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Volatility and Time Series Econometrics : Essays in Honor of Robert F. Engle. ボラティリティと時系列計量経済学－R.エングル記念論文集
・ISBN 978-0-19-954949-8 hard GB£ 155.00
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お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-19-172056-7
| 著者・編者 | Bollerslev, Tim / Russell, J. R. / Watson, M. W. (eds.), |
|---|---|
| シリーズ | Advanced Texts in Econometrics |
| 出版社 | (Oxford U. Pr., UK) |
| 出版年月 | 2010 |
| ページ数 | 432 pp. |
| 言語 | ENG |
| ニュース番号 | ＜565-209 567-275＞ |
解説
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 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 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 behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.