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Dedication

Econometric Analysis of Financial and Economic Time Series

ISBN: 978-0-76231-274-0, eISBN: 978-1-84950-389-1

Publication date: 29 March 2006

Abstract

Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics, for their many valuable contributions to the econometrics profession. The Royal Swedish Academy of Sciences cited Rob “for methods of analyzing economic time series with time-varying volatility (ARCH),” while Clive was cited “for methods of analyzing economic time series with common trends (cointegration).” Of course, these citations are meant for public consumption but we specialists in time-series analysis know their contributions go far beyond these brief citations. Consider some of Rob's other contributions to our literature: Aggregation of Time Series, Band Spectrum Regression, Dynamic Factor Models, Exogeneity, Forecasting in the Presence of Cointegration, Seasonal Cointegration, Common Features, ARCH-M, Multivariate GARCH, Analysis of High Frequency Data, and CAViaR. Some of Sir Clive's additional contributions include Spectral Analysis of Economic Time Series, Bilinear Time Series Models, Combination Forecasting, Spurious Regression, Forecasting Transformed Time Series, Causality, Aggregation of Time Series, Long Memory, Extreme Bounds, Multi-Cointegration, and Non-linear Cointegration. No doubt, their Nobel Prizes are richly deserved. And the 48 authors of the two parts of this volume think likewise. They have authored some very fine papers that contribute nicely to the same literature that Rob's and Clive's research helped build.

Citation

(2006), "Dedication", Terrell, D. and Fomby, T.B. (Ed.) Econometric Analysis of Financial and Economic Time Series (Advances in Econometrics, Vol. 20 Part 1), Emerald Group Publishing Limited, Leeds, pp. ix-x. https://doi.org/10.1016/S0731-9053(05)20014-2

Publisher

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Emerald Group Publishing Limited

Copyright © 2006, Emerald Group Publishing Limited