Econometric Analysis of Financial and Economic Time Series Part B

This is a two-part volume honouring the Nobel prizes in Economics received by Robert Engle and Clive Granger in 2003. Part A of the volume contains remarks by Engle and Granger on the field of time series econometrics given at the Third Annual Advances in Econometrics Conference held at Louisiana State University in November of 2004 as well as 13 papers on the subject of the measurement and forecasting of volatility in financial and economic time series. These 13 volatility papers are broken into three groups: Multivariate Volatility Models, High Frequency Models, and Univariate Volatility Models. Part B of the volume likewise contains the conference remarks of Engle and Granger and, in addition, contains 13 papers on a broader range of subjects including cointegration, modelling long-memory, nonlinear models of stock market behaviour unbalanced regression models, seasonal time series models, mixture-of-expert models, and tail-dependent time series models, among other topics. Also Granger provides comments on a paper that reviews his first professional journal publication. Book jacket.