The Nobel Memorial Prize for Robert F. Engle

Francis Diebold

No 10423, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: A1 (search for similar items in EconPapers)
Date: 2004-04
New Economics Papers: this item is included in nep-ets, nep-fin, nep-his and nep-hpe
Note: AP
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Citations: View citations in EconPapers (15)

Published as Diebold, Francis S. "The Nobel Memorial Prize For Robert F. Engle," Scandinavian Journal of Economics, 2004, v106(2), 165-185.

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Journal Article: The Nobel Memorial Prize for Robert F. Engle (2004)
Working Paper: The Nobel Memorial Prize for Robert F. Engle (2004)
Working Paper: The Nobel Memorial Prize for Robert F. Engle (2004)
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