Volatility and Time Series Econometrics : Essays in Honor of Robert Engle (Advanced Texts in Econometrics) / Bollerslev, Tim (EDT)/ Russell, Jeffrey (EDT)/ Watson, Mark (EDT)

ボラティリティと時系列の計量経済学（記念論文集）<br>Volatility and Time Series Econometrics : Essays in Honor of Robert Engle (Advanced Texts in Econometrics)

個数：

ボラティリティと時系列の計量経済学（記念論文集）
Volatility and Time Series Econometrics : Essays in Honor of Robert Engle (Advanced Texts in Econometrics)

Bollerslev, Tim (EDT)/ Russell, Jeffrey (EDT)/ Watson, Mark (EDT)

ウェブストア価格 ¥38,289（本体¥34,809）
Oxford University Press（2010/02発売）
外貨定価 US$ 185.00
ポイント 348pt

提携先の海外書籍取次会社に在庫がございます。通常3週間で発送いたします。
【重要ご説明事項】
1. 納期遅延や、ご入手不能となる場合が若干ございます。
2. 複数冊ご注文の場合は、ご注文数量が揃ってからまとめて発送いたします。
3. 美品のご指定は承りかねます。

●3Dセキュア導入とクレジットカードによるお支払いについて

【入荷遅延について】
世界情勢の影響により、海外からお取り寄せとなる洋書・洋古書の入荷が、表示している標準的な納期よりも遅延する場合がございます。
おそれいりますが、あらかじめご了承くださいますようお願い申し上げます。

◆画像の表紙や帯等は実物とは異なる場合があります。

◆ウェブストアでの洋書販売価格は、弊社店舗等での販売価格とは異なります。
また、洋書販売価格は、ご注文確定時点での日本円価格となります。
ご注文確定後に、同じ洋書の販売価格が変動しても、それは反映されません。

製本 Hardcover:ハードカバー版／ページ数 432 p.／サイズ 92 figs., 70 tbs.
言語 ENG
商品コード 9780199549498
DDC分類 330.015195

Full Description

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.

Introduction ; 1. Measuring Downside Risk- Realized Semivariance ; 2. Modelling UK Inflation Uncertainty, 1958-2006 ; 3. Glossary to ARCH ; 4. A Multifactor Nonlinear, Continuous-time Model of Interest Rate Volatility ; 5. Volatility Regimes and Global Equity Returns ; 6. The Long Run Shift-Share: Modelling the Sources of Metropolitan Sectoral Fluctuations ; 7. Macroeconomic Volatility and Stock Market Volatility, Worldwide ; 8. Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio ; 9. Multivariate Autocontours for Specification Testing in Multivariate GARCH Models ; 10. A History of Econometrics at the University of California, San Diego, A Personal Viewpoint ; 11. Macroeconomics and ARCH ; 12. An Automatic test of Super Exogeneity ; 13. Changes in the Volatility of Residential Investment in the United States ; 14. Generalized Forecast Errors, A Change of Measure and Forecast Optimality Conditions ; 15. Trade by Trade, Financial Transaction Price Dynamics and Limit Order Placement ; 16. Modelling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR