The Nobel Memorial Prize for Robert F. Engle
Francis X. Diebold
University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)
NBER Working Paper No. w10423
I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de-emphasizing technical aspects and focusing instead on the intuition, nuances and importance of the work.
Number of Pages in PDF File: 29
Date posted: April 23, 2004
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