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The Nobel memorial prize for Robert Engle

Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004

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Diebold, Francis X. - 2004

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The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - 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,...

Persistent link: https://www.econbiz.de/10012468270