Introduction
1: Ole E. Barndorff-Nielsen, Solja Kinnebrock and Neil Shephard:
Measuring Downside Risk- Realized Semivariance
2: Gianna Boero, Jeremy Smith and Kenneth F. Wallis: Modelling UK
Inflation Uncertainty, 1958-2006
3: Tim Bollerslev: Glossary to ARCH
4: Jacob Boudoukh, Christopher Downing, Matthew Richardson, Richard
Stanton and Robert F. Whitelaw: A Multifactor Nonlinear,
Continuous-time Model of Interest Rate Volatility
5: Luis Catão and Allan Timmerman: Volatility Regimes and Global
Equity Returns
6: N. Edward Coulson: The Long Run Shift-Share: Modelling the
Sources of Metropolitan Sectoral Fluctuations
7: Francis X. Diebold and Kamil Yilmaz: Macroeconomic Volatility
and Stock Market Volatility, Worldwide
8: Stephen Figlewski: Estimating the Implied Risk Neutral Density
for the U.S. Market Portfolio
9: Gloria González-Rivera and Emre Yoldas: Multivariate
Autocontours for Specification Testing in Multivariate GARCH
Models
10: Clive W.J. Granger: A History of Econometrics at the University
of California, San Diego, A Personal Viewpoint
11: James D. Hamilton: Macroeconomics and ARCH
12: David F. Hendry and Carlos Santos: An Automatic test of Super
Exogeneity
13: James H. Stock and Mark W. Watson: Changes in the Volatility of
Residential Investment in the United States
14: Andrew J. Patton and Allan Timmerman: Generalized Forecast
Errors, A Change of Measure and Forecast Optimality Conditions
15: Jeffrey Russell: Trade by Trade, Financial Transaction Price
Dynamics and Limit Order Placement
16: Halbert White, Tae-Hwan Kim and Simone Manganelli: Modelling
Autoregressive Conditional Skewness and Kurtosis with
Multi-Quantile CAViaR
Mark Watson is the Howard Harrison and Gabrielle Snyder Beck
Professor of Economics and Public Affairs at Princeton University
and a research associate at the National Bureau of Economic
Research. He is a fellow of the American Academy of Arts and
Sciences and of the Econometric Society. His research focuses on
time-series econometrics, empirical macroeconomics, and
macroeconomic forecasting. He has published articles in these areas
and is the author (with James
Stock) of Introduction to Econometrics, a leading undergraduate
textbook. Watson has served on the editorial board of several
journals including the American Economic Review, Journal of
Applied
Econometrics, Econometrica, the Journal of Business and Economic
Statistics, the Journal of Monetary Economics, and Macroeconomic
Dynamics. He currently serves as a Co-Editor of the Review of
Economics and Statistics. He has served as a consultant for the
Federal Reserve Banks of Chicago and Richmond. Tim Bollerslev is
the first Juanita and Clifton Kreps Distinguished Professor of
Economics at Duke University, and Professor of Finance at the Fuqua
School of Business at Duke University. He is an
elected Fellow of the Econometric Society, a Fellow of the Journal
of Econometrics, and a long time Research Associate at the National
Bureau of Economic Research. He is also affiliated with the
Center for Research in Econometric Analysis of Time Series at the
University of Aarhus, Denmark. Bollerslev is particularly
well-known for his invention of the GARCH model and his work on
financial market volatility and high-frequency financial data. He
is a co-editor for the Journal of Applied Econometrics, and has
previously served on the editorial board for more than ten other
academic journals. Professor Bollerslev received his M.S. degree in
economics and mathematics from the University
from the University of Aarhus, Denmark, and his Ph.D. degree in
economics from the University of California, San Diego.
Jeffrey R. Russell is Professor of Econometrics and Statistics at
the University of Chicago Booth School of Economics. He conducts
research on financial econometrics, time series, applied
econometrics, empirical market microstructure, and high-frequency
financial data. Russell's recent research has focused on using
intraday price data to measure and predict financial asset
volatility. His work has appeared in the Review of Economic
Studies, Journal of Financial Economics and Econometrica. His
research is supported by a Morgan Stanley Equity Microstructure
Grant and he is the recipient of an Alfred P. Sloan Doctoral
Dissertation Fellowship. In addition to teaching and research,
Russell is an
associate editor of the Journal of Applied Econometrics and the
Journal of Financial Econometrics and he also serves on the NASDAQ
Board of Economic Advisors.
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