The Nobel Memorial Prize for Robert F. Engle
29 Pages Posted: 23 Apr 2004 Last revised: 26 Jun 2010
Date Written: April 2004
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.
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