The Nobel Memorial Prize for Robert F. Engle

29 Pages Posted: 23 Apr 2004  

Francis X. Diebold

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

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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

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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