This issue is based on two international conferences held in 2003. The first, on ‘‘New Frontiers in Financial Volatility Modeling,’’ took place in Florence in May and was organized by R.F. Engle and G.M. Gallo. Generous support was provided by MPS Finance and the Fondazione Carlo Marchi in Florence. The second, on ‘‘Macro- and Financial Econometrics,’’ took place in Milan in September and was organized by F.X. Diebold, C. Favero and F. Schorfheide. Generous support was provided by the University of Pennsylvania’s Institute for Economic Research (PIER) and Bocconi University’s Innocenzo Gasparini Institute for Economic Research (IGIER); indeed, the meeting was the second in what has now become the annual PIER–IGIER conference series. We have grouped the papers collected in this volume into three broad categories: (I) volatility models, with links to the macroeconomy, (II) yield curve models, with links to the macroeconomy, and (III) regime switching, latent factors, fractional integration, and target zone models.
The econometrics of macroeconomics, finance, and the interface
Favero C.;
2006
Abstract
This issue is based on two international conferences held in 2003. The first, on ‘‘New Frontiers in Financial Volatility Modeling,’’ took place in Florence in May and was organized by R.F. Engle and G.M. Gallo. Generous support was provided by MPS Finance and the Fondazione Carlo Marchi in Florence. The second, on ‘‘Macro- and Financial Econometrics,’’ took place in Milan in September and was organized by F.X. Diebold, C. Favero and F. Schorfheide. Generous support was provided by the University of Pennsylvania’s Institute for Economic Research (PIER) and Bocconi University’s Innocenzo Gasparini Institute for Economic Research (IGIER); indeed, the meeting was the second in what has now become the annual PIER–IGIER conference series. We have grouped the papers collected in this volume into three broad categories: (I) volatility models, with links to the macroeconomy, (II) yield curve models, with links to the macroeconomy, and (III) regime switching, latent factors, fractional integration, and target zone models.
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