TY  - JOUR
AU  - Diebold,Francis X.
TI  - The Nobel Memorial Prize for Robert F. Engle
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10423
PY  - 2004
Y2  - April 2004
UR  - http://www.nber.org/papers/w10423
L1  - http://www.nber.org/papers/w10423.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu
AB  - 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.
ER  -