29 Pages Posted: 23 Apr 2004
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.
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