CONTENTS
DEDICATION ix
LIST OF CONTRIBUTORS xi
INTRODUCTION
Dek Terrell and Thomas B. Fomby xiii
REMARKS BY ROBERT F. ENGLE III AND
SIR CLIVE W. J. GRANGER, KB
Given During Third Annual Advances in Econometrics
Conference at Louisiana State University, Baton
Rouge, November 5–7, 2004
GOOD IDEAS
Robert F. Engle III xix
THE CREATIVITY PROCESS
Sir Clive W. J. Granger, KB xxiii
PART I: MULTIVARIATE VOLATILITY MODELS
A FLEXIBLE DYNAMIC CORRELATION MODEL
Dirk Baur 3
A MULTIVARIATE SKEW-GARCH MODEL
Giovanni De Luca, Marc G. Genton and Nicola
Loper?do
33
SEMI-PARAMETRIC MODELING OF CORRELATION
DYNAMICS
Christian M. Hafner, Dick van Dijk and Philip Hans
Franses
59
A MULTIVARIATE HEAVY-TAILED DISTRIBUTION
FOR ARCH/GARCH RESIDUALS
Dimitris N. Politis 105
A PORTMANTEAU TEST FOR MULTIVARIATE
GARCH WHEN THE CONDITIONAL MEAN IS AN
ECM: THEORY AND EMPIRICAL APPLICATIONS
Chor-yiu Sin 125
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 155
MODEL-BASED MEASUREMENT OF ACTUAL
VOLATILITY IN HIGH-FREQUENCY DATA
Borus Jungbacker and Siem Jan Koopman 183
NOISE REDUCED REALIZED VOLATILITY: A
KALMAN FILTER APPROACH
John P. Owens and Douglas G. Steigerwald 211
PART III: UNIVARIATE VOLATILITY MODELS
MODELING THE ASYMMETRY OF STOCK
MOVEMENTS USING PRICE RANGES
Ray Y. Chou 231
ON A SIMPLE TWO-STAGE CLOSED-FORM
ESTIMATOR FOR A STOCHASTIC VOLATILITY IN A
GENERAL LINEAR REGRESSION
Jean-Marie Dufour and Pascale Vale ′ry 259
THE STUDENT’S T DYNAMIC LINEAR
REGRESSION: RE-EXAMINING VOLATILITY
MODELING
Maria S. Heracleous and Aris Spanos 289
ARCH MODELS FOR MULTI-PERIOD FORECAST
UNCERTAINTY: A REALITY CHECK USING A
PANEL OF DENSITY FORECASTS
Kajal Lahiri and Fushang Liu 321
NECESSARY AND SUFFICIENT RESTRICTIONS FOR
EXISTENCE OF A UNIQUE FOURTH MOMENT OF A
UNIVARIATE GARCH(P,Q) PROCESS
Peter A. Zadrozny 365