Advances in Econometrics, Volume 20: Econometric Analysis of Financial and Economic Time Series

Part 1

DOI 10.1016/S0731-9053(2006)20_Part_1 Series copyright holder: Emerald Publishing Limited ISBN 978-0-76231-274-0 eISBN 978-1-84950-389-1 Book series ISSN 0731-9053

• Introduction, Dek Terrell and Thomas B. Fomby.
• Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB.
• Good Ideas, Robert F. Engle III.
• The Creativity Process, Sir Clive W.J. Granger, KB.

Part I: Multivariate Volatility Models.

• A Flexible Dynamic Correlation Model, Dirk Baur.
• A Multivariate Skew-GARCH Model, Giovanni De Luca, Marc G. Genton, and Nicola Loperfido.
• Semi-Parametric Modeling of Correlation Dynamics, Christian M. Hafner, Dick van Dijk, and Philip Hans Franses.
• A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals, Dimitris N. Politis.
• A Portmanteau Test for Multivariate GARCH When the Conditional Mean is an ECM: Theory and Empirical Applications, Chor-yiu Sin.

Part II: High Frequency Volatility Models.

• Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations, Elena Andreou and Eric Ghysels.
• Model-Based Measurement of Actual Volatility in High-Frequency Data, Borus Jungbacker and Siem Jan Koopman.
• Noise Reduced Realized Volatility: A Kalman Filter Approach, John P. Owens and Douglas Steigerwald.

Part III: Univariate Volatility Models.

• Modeling the Asymmetry of Stock Movements Using Price Ranges, Ray Y. Chou.
• On a Simple Two-Stage Closed-Form Estimator for a Stochastic Volatility in a General Linear Regression, Jean-Marie Dufour and Pascale Valery.
• The Student's T Dynamic Linear Regression: Re-Examining Volatility Modeling, Maria S. Heracleous and Aris Spanos.
• ARCH Models for Multi-Period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts, Kajal Lahiri and Fushang Liu.
• Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(P,Q) Process, Peter A. Zadrozny.

Part 2

DOI 10.1016/S0731-9053(2006)20_Part_2 Series copyright holder: Emerald Publishing Limited ISBN 978-0-76231-274-0 eISBN 978-1-84950-389-1 Book series ISSN 0731-9053

• Introduction, Thomas B. Fomby and Dek Terrell.
• Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB.
• Good Ideas, Robert F. Engle III.
• The Creativity Process, Sir Clive W.J. Granger, KB.
• Realized Beta: Persistence and Predictability, Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, and Ginger Wu.
• Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison, Yong Bao and Tae-Hwy Lee.
• Flexible Seasonal Time Series Models, Zongwu Cai and Rong Chen.
• Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods, Ngai Hang Chan and Wilfredo Palma.
• Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting, Valeriy A. Gavrishchaka.
• Overlaying Time Scales in Financial Volatility Data, Eric Hillebrand.
• Evaluating the 'FED Model' of Stock Price Valuation: An Out-of-Sample Forecasting Perspective, Dennis W. Jansen and Zijun Wang.
• Structural Change as an Alternative to Long Memory in Financial Time Series, Tze Leung Lai and Haipeng Xing.
• Time Series Mean Level and Stochastic Volatility Modeling by Smooth Transition Autoregressions: A Bayesian Approach, Hedibert Freitas Lopes and Esther Salazar.
• Estimating Taylor-Type Rules: An Unbalanced Regression? Pierre L. Siklos and Mark E. Wohar.
• Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility, Alejandro Villagran and Gabriel Huerta.
• A Modern Time Series Assessment of "A Statistical Model for Sunspot Activity" by C.W.J. Granger (1957), Gawon Yoon.
• Personal Comments on Yoon's Discussion of My 1957 Paper, Sir Clive W.J. Granger, KB.
• A New Class of Tail-Dependent Time-Series Models and Its Applications in Financial Time Series, Zhengjun Zhang.