Econometric analysis of financial and economic time series

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 -- Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations / Elena Andreou, Eric Ghysels -- Model-based measurement of actual volatility in high-frequency data / Borus Jungbacker, Siem Jan Koopman -- Noise reduced realized volatility : a kalman filter approach / John P. Owens, Douglas G. Steigerwald -- 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, Pascale Val(c)Øery -- The Student's t / Maria S. Heracleous, Aris Spanos -- A flexible dynamic correlation model / Dirk Baur -- ARCH models for multi-period forecast uncertainty : a reality check using a panel of density forecasts / Kajal Lahiri, Fushang Liu -- A multivariate skew-garch model / Giovanni De Luca, Marc G. Genton, Nicola Loperfido -- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch(p / Peter A. Zadrozny -- Semi-parametric modelling of correlation dynamics / Christian M. Hafner, Dick van Dijk, Philip Hans Franses -- Introduction / Dell Terrell, Thomas B. Fomby -- Good ideas / Robert F. Engle -- The creativity process / Clive W.J. Granger