Robert F. Engle Festschfift Conference
June 21, 2008
San Diego, CA
- Ole E. Barndorff-Nielsen, Solja Kinnebrock and Neil Shephard, "Measuring downside risk - realized semivariance"
- Gianna Boero, Jeremy Smith and Kenneth F. Wallis, "Modelling UK Inflation Uncertainty, 1958-2006"
- Tim Bollerslev , "Glossary to ARCH (GARCH)"
- Jacab Boudoukh, Chistopher Downing, Matthew Richardson, Richard Stanton and Robert F. Whitelaw, "A Multifactor, Nonlinear, Continous-time Model of Interest Rate Volatility"
- Luis Catão and Allan Timmermann, "Volatility Regimes and Global Equity Returns"
- N. Edward Coulson, "The Long Run Shift-Share: Modeling the Sources of Metropolitan Sectoral Fluctuations"
- Francis X. Diebold and Kamil Yilmaz, "Macroeconomic Volatility and Stock Market Volatility, World-Wide"
- Stephen Figlewski, "The Implied Risk Neutral Density for the U.S. Market Portfolio"
- Gloria González-Rivera and Emre Yoldas, "Testing Dynamic Specification and Density Functional Form in Multivariate Time Series Models"
- Clive W.J. Granger, "A History of Econometrics at the University of California, San Diego, A Personal Viewpoint"
- James D. Hamilton, "Macroeconomics and ARCH"
- David F. Hendry and Carlos Santos, "An Automatic Test of Super Exogeneity"
- Jame H. Stock and Mark W. Watson, "The Evolution of National and Regional Factors
in U.S. Housing Construction"
- Andrew J. Patton and Allan Timmermann, "Generalized Forecast Errors, A Change of Measure, and Forecast Optimality Conditions"
- Jeffrey Russell , "Trade by Trade Financial Transaction Price Dynamics and Limit Order Placement"
- Halbert White, Tae-Hwan Kim and Simone Manganelli, "Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR"