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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. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clives first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume. It illustrates new concepts.

Mathematical statistics --- Quantitative methods (economics) --- Econometric models --- Finance --- -Time-series analysis --- 330.015195 --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Econometrics --- Mathematical models --- Funding --- Funds --- Economics --- Currency question --- Econometric models. --- Time-series analysis. --- Business & Economics --- Econometrics. --- General. --- Economics, Mathematical --- Statistics

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Quantitative methods (economics)

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The main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. The reader will find several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. The volume consists of eleven contributions by both practitioners and theoreticians with expertise in financial markets, in general, and econometrics and mathematical finance in particular. The challenge of modeling defaults and their correlations is addressed, and new results on copula, reduced form and structural models, and the top-down approach are presented. After the so-called subprime crisis that hit global markets in the summer of 2007, the volume is very timely and will be useful to researchers in the area of credit risk.

Credit -- Mathematical models. --- Credit derivatives -- Mathematical models. --- Risk management -- Mathematical models. --- Credit derivatives --- Credit --- Econometrics --- Risk management --- Insurance --- Management --- Borrowing --- Finance --- Money --- Loans --- Derivative securities --- Mathematical models --- Quantitative methods (economics) --- International financial management --- Business & Economics --- Econometrics. --- Forecasting. --- Economics, Mathematical --- Statistics

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Econometrics --- Regression analysis --- Research --- AA / International- internationaal --- 305.970 --- 304.0 --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrics - Research --- Regression analysis - Research

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