The Nobel Memorial Prize for Robert F. Engle

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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Year of publication:	2004-04
Authors:	Diebold, Francis
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP published as Diebold, Francis S. "The Nobel Memorial Prize For Robert F. Engle," Scandinavian Journal of Economics, 2004, v106(2), 165-185. Number 10423
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005830164