Volatility and Time Series Econometrics: Essays in Honor of Robert Engle (Advanced Texts in Econometrics)

Contents......Page 6
Introduction......Page 11
2 The Founding Years: 1974–1984......Page 14
3 The Middle Years: 1985–1993......Page 16
4 The Changing Years: 1994–2003......Page 17
6 Visitors......Page 19
10 The way the world of econometrics has changed......Page 21
11 Visitors and students......Page 22
1 Introduction......Page 26
2 A general model and some specializations......Page 27
3 Data and evidence......Page 34
4 Summary and conclusions......Page 46
1 Introduction......Page 48
2 The state building permits data set......Page 51
3 The DFM-SV model......Page 58
4 Empirical results......Page 62
5 Discussion and conclusions......Page 73
1 Introduction......Page 75
2 UK inflation and the policy environment......Page 76
3 Re-estimating the original ARCH model......Page 79
4 The nonstationary behavior of UK inflation......Page 82
5 Measures of inflation forecast uncertainty......Page 86
6 Uncertainty and the level of inflation......Page 90
7 Conclusion......Page 91
1 Introduction......Page 92
2 GARCH and inference about the mean......Page 94
3 Application 1: Measuring market expectations of what the Federal Reserve is going to do next......Page 100
4 Application 2: Using the Taylor Rule to summarize changes in Federal Reserve policy......Page 104
5 Conclusions......Page 108
1 Introduction......Page 110
2 Data......Page 112
3 Empirical results......Page 113
4 Variations and extensions......Page 118
5 Concluding remark......Page 122
1 Introduction......Page 130
2 Econometric theory......Page 135
3 More empirical work......Page 141
4 Additional remarks......Page 144
5 Conclusions......Page 146
8 Glossary to ARCH (GARCH)......Page 150
1 Introduction......Page 177
2 Detectable shifts......Page 179
3 Super exogeneity in a regression context......Page 183
4 Impulse saturation......Page 186
5 Null rejection frequency of the impulse-based test......Page 188
6 Potency at stage 1......Page 192
7 Super-exogeneity failure......Page 194
9 Simulating the potencies of the automatic super-exogeneity test......Page 199
10 Testing super exogeneity in UK money demand......Page 203
11 Conclusion......Page 205
1 Introduction......Page 207
2 Testable implications under general loss functions......Page 209
3 Properties under a change of measure......Page 213
4 Numerical example and an application to US inflation......Page 215
5 Conclusion......Page 222
1 Introduction......Page 226
2 Testing methodology......Page 228
3 Monte Carlo simulations......Page 232
4 Empirical applications......Page 237
5 Concluding remarks......Page 243
1 Introduction......Page 244
2 The MQ-CAViaR process and model......Page 245
3 MQ-CAViaR estimation: Consistency and asymptotic normality......Page 247
4 Consistent covariance matrix estimation......Page 250
5 Quantile-based measures of conditional skewness and kurtosis......Page 251
6 Application and simulation......Page 252
7 Conclusion......Page 259
13 Volatility Regimes and Global Equity Returns......Page 270
1 Econometric methodology......Page 274
2 Data......Page 278
3 Global stock return dynamics......Page 280
4 Variance decompositions......Page 288
5 Economic interpretation: Oil, money, and tech shocks......Page 294
6 Implications for global portfolio allocation......Page 300
7 Conclusion......Page 306
1 Introduction......Page 309
2 The stochastic behavior of interest rates: Some evidence......Page 311
3 Estimation of a continuous-time multifactor diffusion process......Page 320
4 A generalized Longsta. and Schwartz (1992) model......Page 326
5 Conclusion......Page 334
1 Introduction......Page 336
2 Review of the literature......Page 338
3 Extracting the risk-neutral density from options prices, in theory......Page 342
4 Extracting a risk-neutral density from options market prices, in practice......Page 344
5 Adding tails to the risk-neutral density......Page 355
6 Estimating the risk-neutral density for the S&P 500 from S&P 500 index options......Page 358
7 Concluding comments......Page 365
1 Introduction......Page 367
2 The model......Page 369
4 Data......Page 371
5 Results......Page 373
6 Conclusions......Page 377
Bibliography......Page 378
A......Page 414
B......Page 415
D......Page 416
E......Page 417
G......Page 418
H......Page 420
L......Page 422
M......Page 424
P......Page 426
R......Page 427
S......Page 428
V......Page 430
Z......Page 432