Introduction

Abstract

The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. Please see the previous dedication page of this volume. This part of Volume 20 of Advances in Econometric focuses on volatility models. The contributions cover a variety of topics and are organized into three broad categories to aid the reader. The first five papers focus broadly on multivariate Generalised auto-regressive conditional heteroskedasticity (GARCH) models. The first four papers propose new models that enhance existing models, while the final paper proposes a test for multivariate GARCH in the models with non-stationary variables. The next three papers examine topics related to high frequency-data. The first of these papers compares asymptotically mean square error (MSE)-equivalent sampling frequencies and window lengths, while the other two papers in this group consider the problem of estimating volatility in the presence of microstructure noise. The last five papers are contributions relevant primarily to univariate volatility models. Of course, we are also pleased to include Rob's and Clive's remarks on their careers and their views on innovation in econometric theory and practice that were given at the third annual Advances in Econometrics Conference held at Louisiana State University, Baton Rouge, on November 5–7, 2004.

Citation

Terrell, D. and Fomby, T.B. (2006), "Introduction", 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. xiii-xvii. https://doi.org/10.1016/S0731-9053(05)20017-8