Volatility and Time Series Econometrics Essays in Honor of Robert Engle

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1、ADVANCEDTEXTSINECONOMETRICSEditorsManuelArellanoGuidoImbensGrayhamE.MizonAdrianPaganMarkWatsonAdvisoryEditorC.W.J.GrangerOtherAdvancedTextsinEconometricsARCH:SelectedReadingsEditedbyRobertF.EngleBayesianInferenceinDynamicEconometricModelsByLucBauwens,MichelLubrano,andJean-Fra

2、n¸coisRichardCo-integration,ErrorCorrection,andtheEconometricAnalysisofNon-StationaryDataByAnindyaBanerjee,JuanJ.Dolado,JohnW.Galbraith,andDavidHendryDynamicEconometricsByDavidF.HendryFiniteSampleEconometricsByAmanUllahGeneralizedMethodofMomentsByAlastairR.HallLikelihood-Base

3、dInferenceinCointegratedVectorAutoregressiveModelsBySørenJohansenLong-RunEconomicRelationships:ReadingsinCointegrationEditedbyRobertF.EngleandCliveW.J.GrangerMicro-EconometricsforPolicy,ProgramandTreatmentEffectsByMyoung-jaeLeeModellingEconomicSeries:ReadingsinEconometricMetho

4、dologyEditedbyCliveW.J.GrangerModellingNon-LinearEconomicRelationshipsByCliveW.J.GrangerandTimoTer¨asvirtaModellingSeasonalityEditedbyS.HyllebergNon-StationaryTimeSeriesAnalysisandCointegrationEditedbyColinP.HargreavesPanelDataEconometricsByManuelArellanoPeriodicTimeSeriesMod

5、elsByPhilipHansFransesandRichardPaapPeriodicityandStochasticTrendsinEconomicTimeSeriesByPhilipHansFransesReadingsinUnobservedComponentsModelsEditedbyAndrewC.HarveyandTommasoProiettiStochasticLimitTheory:AnIntroductionforEconometriciansByJamesDavidsonStochasticVolatilityEdited

6、byNeilShephardTestingExogeneityEditedbyNeilR.EricssonandJohnS.IronsTheCointegratedVARModelByKatarinaJuseliusTheEconometricsofMacroeconomicModellingByGunnarB˚ardsen,ØyvindEitrheim,EilevS.JansenandRagnarNymoenTimeSerieswithLongMemoryEditedbyPeterM.RobinsonTime-Series-BasedEcono

7、metrics:UnitRootsandCo-integrationsByMichioHatanakaWorkbookonCointegrationByPeterReinhardHansenandSørenJohansenVolatilityandTimeSeriesEconometrics:EssaysinHonorofRobertF.EngleEditedbyTimBollerslev,JeffreyR.Russell,andMarkW.Watson13GreatClarendonStreet,Oxfordox26dpOxfordUnivers

8、ityPressisadepartmentoftheUniversityofOxford.ItfurtherstheUniversity