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http://ssrn.com/abstract=529003
 
 

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The Nobel Memorial Prize for Robert F. Engle


Francis X. Diebold


University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

April 2004

NBER Working Paper No. w10423

Abstract:     
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

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Date posted: April 23, 2004  

Suggested Citation

Diebold, Francis X., The Nobel Memorial Prize for Robert F. Engle (April 2004). NBER Working Paper No. w10423. Available at SSRN: http://ssrn.com/abstract=529003

Contact Information

Francis X. Diebold (Contact Author)
University of Pennsylvania - Department of Economics ( email )
160 McNeil Building
3718 Locust Walk
Philadelphia, PA 19104
United States
215-898-1507 (Phone)
215-573-4217 (Fax)
HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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