The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X.

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The Nobel Memorial Prize for Robert F. Engle

NBER Working Paper No. w10423

29 Pages Posted: 23 Apr 2004 Last revised: 26 Jun 2022

See all articles by Francis X. Diebold

Francis X. Diebold

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

There are 3 versions of this paper

Date Written: April 2004

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.

Suggested Citation: Suggested Citation

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

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

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