NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Nobel Memorial Prize for Robert F. Engle

Francis X. Diebold

NBER Working Paper No. 10423
Issued in April 2004
NBER Program(s):   AP

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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Document Object Identifier (DOI): 10.3386/w10423

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

 
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