Tim Bollerslev – författare
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4 produkter
4 produkter
2 729 kr
Skickas inom 3-6 vardagar
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.
Finance and Economics Discussion Series
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Häftad, Engelska, 2013
231 kr
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Finance and Economics Discussion Series
Expected Stock Returns and Variance Risk Premia
Häftad, Engelska, 2013
260 kr
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Del 344 - The International Library of Critical Writings in Economics series
Volatility
Inbunden, Engelska, 2018
12 685 kr
Skickas inom 5-8 vardagar
Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This research review studies and analyses some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. This insightful review presents and discusses the most important milestones and contributions that helped pave the way to today's understanding of volatility.