.
One year later Robert F. Engle was awarded the Nobel Prize in economics. In his
Nobel Lecture Engle describes the ARCH … applications in economics and flnance are provided by Bollerslev et
al. (1992) and Bera and Higgins (1993).
In the following we … in Economics Letters, Japan and the World Economy and Stud-
ies in Nonlinear Dynamics & Econometrics. The last chapter of …