Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial...

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...

This paper will propose a new statistical model for the analysis of data that does not arrive in equal time intervals such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the...

This paper proposes a new statistical model for the analysis of data which arrives at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates. The conditional intensity is developed and...

This paper surveys three topics: vector autoregressive (VAR) models with integrated regressors, cointegration, and structural VAR modeling. The paper begins by developing methods to study potential "unit root" problems in multivariate models, and then presents a simple set of rules designed to...