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The Nobel Memorial Prize for Robert F. Engle

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  • Francis X. Diebold

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.
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  • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
    • Handle: RePEc:bla:scandj:v:106:y:2004:i:2:p:165-185
    DOI: 10.1111/j.0347-0520.2004.00360.x
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