Abstract

This special issue of the journal contains a selection of papers presented at the Frontiers in Time Series Analysis conference held in Olbia (Sardinia) from the 29th to the 31st of May 2005. The conference was organized under the auspices of the School of Economics and the Department of Economics (D.E.I.R.) of the University of Sassari in Sardinia, and was attended by an international audience of more than 50 academics, including Professor Robert Engle (Nobel Laureate in Economics, 2003). Five of the main themes addressed by the conference, namely (a) panel cointegration, (b) structural breaks, (c) volatility, (d) nonlinearity, and (e) VAR models and cointegration, are gathered in this issue. As will become evident from the brief summaries below there are obvious overlaps across many of these themes and the classification proposed here is thus not intended to be rigorous.

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